If the MacBook Air does not feature an integrated optical drive, it can access those plugged to another Mac or PC via the Airport. One can then load an installation CD/DVD in a wireless-enable Mac, and get the MacBook Air connect to it via Airport as confirmed by MacFixit.
This computer is not alone in the dark as some people heavily claim it, one could even think of having a compact flash-based USB disk as an emergency disc.
For sure, one will not be able on the MacBook A to play games requiring the CD to be installed in the optical drive, or at least not when being on the move. For sure, third-parties will offer some expansion bay to be added to the single USB port to quickly add some function to the MacBook Air.
[translation by Linathael]