But why would someone from the 20th Century take a CD-ROM back in time to put on a show for less technologically advanced cultures, with the specific intention of starting religions?
No, they did not go back to start religions.
Ronald Pegg believed that when a time machine was (will be) built, the first field trip was back to the ancient Middle East, somewhere around the Mesopotamian region.
The purpose was simple - using their new toy (time machine) and showing off, the chrononauts gave a 'show and tell' of the future to the very first civilized people they could find.
It has been proposed that historical cd-roms were selected which were relevant to neighbouring regions (from which future civilizations would emerge), but would mean nothing to the ancient locals due to their lack of geographical understanding. In this way, the experiment could be a success without damaging history. If the people could not understand what they were seeing, then the brief appearance of modern technology and the showing of future information would not change history.
Religions were an unfortunate side effect.
Why then, did 'time messengers' go back to the past, again ?
In order to try to correct the side affect of the time travel experiment (ie. the first field trip).
While not understanding the future events, the ancient people perceived the chrononauts to be angels, and the images from the cd-roms gave rise to stories about gods. Thus sprouted Religions and the worshipping of various gods that cascaded through the Middle East and affected the Sumerian, Mesopotamian, and Egyptian civilizations (just to mention a few).