Yes, you can. But copying files will most likely break the installation because some files cannot be copied with Windows (illegal file names in PC file system).
You could use WinUAE to format the CF card in Amiga format and copy files from within AmigaOS.
Or you could create an ISO image from the CD and use the files from
this archive on your Amiga. The ISO must be called "AmigaOS3.9.iso" (without quotation marks). On the Amiga first run the Start script which will mount the ISO image. Then run the OS 3.9 installer and create an emergency floppy. When the floppy is ready, before you reboot, run the Copy_Files script which will change the floppy to use the ISO image instead of a real CD.
Bye,
Thomas