Not sure if you can install it like Evox (i did that too btw), but i run XsnesX, and also all other Emulators, from CD with the games
Hope that helps, but about install emulators from CD, i think you can do like a Ripp of the CD to the HD of the Xbox. It all depends of the modchip you have on the Xbox i think.
Or you can copy the contents of the Cd to the Xbox anyway and a new option will apear then on Evox, cant remember now where, to launch the emu from there.