What does the game physically come with?

[vfb]

My manual and the attached CD came in a box. It's not a loose CD. It's in a plastic sleeve, attached to the manual.

[JimMorrison]

It may come in a brown corrugated cardboard box. It may come in a bubble-wrap lined manila envelope.

My CD was not so much "loose", as enclosed in a paper sleeve. It's not entirely hard to move it to a wallet, or to a spare jewel case, as you personally prefer.