Most of the modems and routers come with built-in virtual CD-ROM because Windows operating systems do not ship with drivers for these devices.
You might have noticed that when a pen drive, mouse, keyboard, etc., is connected to your Windows PC, it automatically install the right drivers and does not prompt you to install. Some drivers are shipped with Windows itself, and it automatically gets installed when you connect your USB device to a PC. When you connect any device to a PC with a USB cable, it tries to install the required drivers to run it properly.