Help, Trojan on disk! Is my computer infected?

I recently got some shareware on a disk that my friend burned for me. When I went to put it on my computer last night, my antivirus protection Software (I have AVG) came up as soon as I put the CD in and told me that there was a Trojan on the keygen file on the disk. I didn't install anything, and I tried to disinfect it but AVG said some files could not be removed since it was on a disk. So I removed the CD and everything seemed okay. I woke up this morning realizing I accidentally left my computer on last night, and AVG was on the screen again telling me I had two infections. They were both Trojans, one I healed and moved to the virus vault, but the other could neither be healed or removed. This one had the name of the software on the disk I put in last night, but the disk was not in the computer. Also, it said that I could not heal this virus because it's name did not exist in the location, and then because it was on a CD. I disconnected my Internet and am running a full computer scan right now. So, is my computer infected?