PeterOnTheNet, did you actually bothered to download ALL 7 cd images off the net? I suspect you have not the latest, I think what you've got is Debian 3.0 Woody.
Well, Stable release maybe, but the latest i.e. Sarge consist of 15 CDs (the largest distro to date)! You really only ever need the first CD to install Sarge via the Debian Installer (D-I) RC2.
One more thing, there's NO such thing as a default DE (e.g. GNOME, KDE, XFce) as such, what you get is a base install and the cli. Run apt-setup (part of install anyway) to configure your apt sources and you should be on way to a full blown Debian install complete with the DE/s of your choice; apps, etc.
Download link for Debian Installer RC2:
Pick your arch (e.g. i386, PPC) and download away...
Screenies of the the entire D-I (RC 2) isntall process is documented here:
These following FAQs, Manuals, HOWTOS, Tutorials and Guides (and Indices to them) are essential reads if you truly want to survive on Debian. Be prepared for lots of stuff being done via the cli (so better get to LOVE it), Debian utilities (many of whom remain cli/ncurses-based) and editing of config files hand and.