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Is it possibly to run it directly from a CD, without installing it completely. I really want to give it a try before installing it definitely.
Yes, although a USB will be faster.
The following image is of the default start screen of elementary OS Freya 0.3 installer. You can either click the Try elementary button, or the small x in the top left-hand corner of the window (they both have the same effect).
Required, but never shown