Hi Sandeep,
The error you are experiencing is caused by the Microsoft Installer (MSI), when it detects that the drive you are writing to is flagged as "Removable". The MSI wants to cache some information so that it can later do things like, modify and repair the installation. It will not cache information on a removable drive because there is a chance the drive will not be there later. So after it notices that the drive is removable, it then decides to throw the error.
It is possible to get CF cards that are flagged as "Non-removable" and in that case you will not get this error when installing.
- Philip Courtois, Thinkbot Solutions