If you want to install linux using the hard drive method you will need to create an iso file for each of the CDs. As such:
mkisofs -o cd1.iso /mnt/cdrom/*
You will also need to create a boot floppy disk using the correct image file in the /image directory on the 1st CD.
The iso images needs to reside on a FAT32, ext2 or ext3(?) partition.
See the installation documentation at Redhat's website for details. www.redhat.com