Note: this boot.iso is for i386
I also had a similar problem like this, I had a 5th CD, holding a file called boot.iso which can be grabbed off of http://final-limit.com/files/fedora/boot.iso,
I ran this in my first cdrom drive with Fedora Core 2 in the 2nd (if possible to you). Then it does a "test" or a scan to check if you have acutually gotten fedora core 2.
Also I recomend looking at your CD's to check if you burned the iso's on to the CD as a CD image. I used a program called Nero under windows (trial).
The boot.iso file is an ISO 9660 image of a bootable CD-ROM. It is useful
in cases where the CD-ROM installation method is not desired, but the
CD-ROM's boot speed would be an advantage.
This also has a way to install via http, ftp, HARDRIVE, and CD media (which would be what you want to do if you have CD1, CD2, etc.