Yes edit your sources.list and comment out the entry for the CDROM
Heres the sources list from my Debian box, notice the #
(pound sign) in front of the entry for the CDROM.
make sure you update again before trying to install anything..
sudo apt-get update
There's probably a way to do this through the synaptic GUI as well.. but I never use it so I couldn't tell you offhand where it's at.. I'm sure if you take a peek it may be obvious.