This is another game with extremely dumb copy protection. Only in this case I'm questioning if it was even intended to stop you from copying the game.
In any case, this game is freeware these days and normally played using ScummVM. But if you want to play on a truly old PC or just be neat, you'll need the DOS version.
But the DOS CD version searches CD drives for its data, as specified by the MSCDEX interface.
I'd thought about somehow faking this, but it turned out to be completely unnecessary.
To make the game load off a hard drive, simply specify where sky.dsk is on the game's command line parameters.
For example, if you installed the game to C:\SKY. In that directory you'll get SKY.CFG and SKY.BAT. (I suggest renaming SKY.BAT to something else like RUN.BAT.).
You could copy the game files (SKY.*) to this directory, then edit the batch file.
It'll say SKY CFG=C:\SKY. Just add "sky.dsk" to that if the files are all in the same directory. Specify the path if otherwise.
Now you can just use the batch file to play from your HDD.