After the patch UT2k4 should not need the DVD anymore, but I've found that this isn't always the case. I have no idea why, but this has worked for me every time.
1. Install the game.
2. Run the game and change something in the settings. It can be anything. Then exit the game.
4. Download the 3369 patch:
Mirror 1: http://www.megaupload.com/?d=0WHZ9BH0
Mirror 2: http://www.4shared.com/file/Cd_Qeh_S/ut2004-winpatch3369.html
5. Install the patch.
The game should no longer need the DVD to play.