The procedure should be similar with wine or with an installer. I've not tried UT2k4, but UT2k3 had an installer on the third disk (called install-sh or something like that). If he same goes to UT2004, do the follow:
1 - Copy the installer (install-sh) from your cd to your HD...
2 - Eject/Umount the CD, as usual.
3 - Put the first disk on the drive (do _not_ mount it, the installer should take care of it) and run, as root, you install-sh from your HD (sh install-sh).
UT2k3 installer managed to mount and umount the devices automatically, hopefully that will work for you as well