I assume that you have a DVD burner. You are mixing up terms DVD and CD.
InVegas use import from camcorder DVD (even though it is not a camcorder DVD that you are importing from). This will save your files in the normal capture file that you set up in the preferences as wel as place them in the project. You will then be able to remove the DVD from the player and the program will not be looking to the player for the files.