the .air installer file (or .exe, .dmg, .deb native air installer file) will try to download AIR from the internet during installation if it detects that AIR is not currently installed on the users computer. installation will fail if AIR is not already installed and there is no internet connection.
since you want to run the application from your DVD and not have to force your users to install the application on their local drives, you could write just the application to the DVD in an "installed" state for each OS that you are targeting.
if you are concerned that one of your clients will not have AIR installed on their systems or have an internet connection, you could simply bundle the most recent AIR 2.5 installers for Mac, PC and Linux on your DVD, which you can find on Adobe's site here: http://get.adobe.com/air/otherversions/ but if you're going to do that you might also want to include your application installer file(s) as well.