"Insert Disk" message on HD installed game
From Worms Knowledge Base
Instead of following the correct procedure when started from Workbench, which is to find out where it has been run from using its startup message, Worms attempts to copy the current directory of the Workbench. If it is lucky, this will work, but if you do anything with the Workbench while Worms is decrunching it won't. This could often cause the game to ask you to insert disk 1 even though it was installed on a hard drive.
This is another bug that was fixed with WormsShell, which makes Worms use the correct directory.