Reason version 8.1 and earlier will prompt you to "Please Insert Disk" upon launch - if the Orkester and/or Factory Sound Banks are missing from the Reason application folder.
This could happen if you have installed a Reason Update, or if you've installed Reason on a MacBook Air using a virtual drive. You can solve this by either inserting the DVD (on MacBook Air, you need a USB drive as Reason doesn't support virtual drives) or manually copying the Orkester and Factory Sound Banks from the DVD to the Reason application folder. If you don't have the DVD you can download the appropriate Sound Banks from here.
IMPORTANT! It's important that you copy/move the Factory Sound Bank and Orkester ReFills to the top-level in the Reason folder, otherwise you will continue to get the "Please insert disc" message.
On Mac, this is how it should look when you open the Reason folder in Applications:
In Windows, this is how it should look when you open the Reason folder in Program Files: