I own a copy of UT2004 in a DVD. I am trying to install it on Linux but after it begins the installation, there is a message that says "Please mount the Unreal Tournament 2004 Play Disk CDROM. Choose Yes to retry, no to cancel"

What can I do now? I don't have a cdrom of the game but a DVD. What do I need to do?

AFAIK just klicking OK should do the trick.

The installer knows that it should ask for the next cd, because it is scripted that way.
But after you klick ok it should just try to copy the next needed file, which is allready there in your case.

If this doesn't work you could try to use some mount -bind magic here.
If you cannot figure this out yourself you can post the directory tree layout for the dvd here,
I could give you some hints then.

Basicly you would mount the dvd to /mnt/dvd,
then (for instance) do a
"mount --bind /mnt/dvd/cd3 /mnt/cdrom"

then (this is from memory and mostly in accurate)

"sh /mnt/cdrom/linux/setup.sh"

This should start the installer.
Then if prompted for the first cd:

"umount /mnt/cdrom"
"mount --bind /mnt/dvd/cd1 /mnt/cdrom"

Or something like this.