You can play WC3 entirely from your hard drive without having to copy every CD. You need a copy of the whole of CD1, as you have already done, but from the other CDs you only need to copy CDxMOVIE.TRE and CDxMISS.TRE (where x is 1, 2, 3 or 4) to the same directory as where you copied CD1. All the other files on each CD are exactly the same as the ones on the first CD so there's no need to copy them.
By doing this you can easily make a DVD of all your WC3 CDs. What I have done is make such a DVD and then copy all files except movie and mission files to a directory and run the game from there with the DVD in the drive. This way I can play without ever changing CD and without taking up masses of space on my PC. Plus you get a nice DVD backup of your game.