Follow the instructions in the tutorial you linked to so you have all the files copied into the game directory. You also need to modify the registry to play without the cd in the drive. Here's the instructions to play the game without the cd in the drive, click on the thumbnails to see the full size screenshots.
1. Click start, click run, type regedit.exe
2. On the left pane, navigate to the grim fandango folder =>
Computer\HKEY_LOCAL_MACHINE\SOFTWARE\LucasArts Entertainment Company LLC\Grim Fandango\v1.0
3 On the right pane, right click a blank area, select 'new'=>'string value'
4. Name the new string value 'good_times'
5. Right click on good times and select modify, enter value of 'true'