The game shown here, Midnight Club II, required the CD to be in the drive to play it. With the advent of Steam and companies releasing older games on Steam, they needed a way to bypass that check. Bypassing a CD (commonly called No-CD) was a very common crack/DRM bypass back in the day. Rockstar didn't want to bring up old source code and find someone who understood it enough to remove the check, so instead they just installed a No-CD crack into the existing EXE and uploaded the thing to Steam.