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Go to your library. Is there a game called "Company of Heroes New Steam Version"? If you're not using that one, use it.
I'm just spitballing, but if you're using the normal client, it might not be working as I'm pretty sure Relic shut down their CoH server some time ago, but Steam has one themselves. I have no idea why it would ask for the disk, but who knows what issues might be popping up on the older clients since they're not supported by anyone anymore.
Another thing you could try is to check the integrity of the game cache. Right Click the game -> properties -> game files. It's possible Steam never downloaded the CD Key to your computer. Even though the games are digital you still need the key to play it, and if you're missing the key for some reason, it might return that error?
You can find your keys with this file path; "C:\Program Files (x86)\Steam\steam\games." You might not have a 'Program Files (x86)" in which case just find your Steam folder.
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