The first time I did that was at an internship when I needed a music player to listen to my music CDs on my work PC's CD-ROM drive while working.

Searched for it (probably on Lycos), found one, downloaded the .exe, launched it, popped a CD in. When I pressed play and heard the music start in my headphones, I had the feeling I just performed magic. Big smile on my face as I went back to work.

Viruses, etc. weren't in our reality in those naive and heady days.