Because that application is supplied with the printer (I have the same model), it's 'hard coded' to work only when the printer is connected. That's to stop anyone who hasn't actually bought a Canon printer from downloading and using the bundled applications from the Canon website. Understandable in a way, I suppose. Mean perhaps, but understandable from their point of view.
There are alternatives you can download from the WWW. This one, for example, is a free trial and only $10 to buy:
http://www.labelmakerwizard.com/
but none of them will be able to open labels you created with 'Canon CD Label Print' unfortunately, so you'll have to create from scratch.