So, you insert the CD, start the ".exe"-installer from CD and then you are supposed to take out the CD and insert the next one.
Mmmhh, I've never done it, but you could perhaps force the unmount with e.g. "umount -f /dev/cdrom"?
Alternatively, and I have no clue if this is possible with wine, you could create multiple mount-directories, e.g. "/mnt/cdrom1" "/mnt/cdrom2" etc.., copy the contents of all CDs to your HDD with "dd if=/dev/cdrom of=/yourdir/cd1.iso" "dd if=/dev/cdrom of=/yourdir/cd2.iso" etc..., mount all of them "mount -v -o loop /yourdir/cd1.iso /mnt/cdrom1" "mount -v -o loop /yourdir/cd2.iso /mnt/cdrom2" etc... and in the wine configuration create multiple virtual cdrom-drives which target the mount-directories /mnt/cdrom1, /mnt/cdrom2, etc... .