Usually pre-installed operating systems are not supported with physical CDs, however, they are installed on a locked partition on your hard drive so that you can not accidently delete anything. You are offered the option to make one hard copy when you first start your new computer, in case you may need to reformat your HDD, or get e new one.
The comps which come with preinstalled O/Ss have special modem/motherboard or other hardware which is not present in a generic Windows copy, but the drivers for these can be downloaded for free.
The advantage of a pre-installed copy is that re-installing/repairing Windows is easier and quicker. Cds also tend to become damaged when used, so this way the hardcopy you make in the beginning stays 'fresh'.