My original install was from CDRW and it went fine. Today I went into packaging/install software and I received the same problem that you mentioned above. I think I was trying to install a libgtk file and it kept spitting CD 1 out and asking for it back. I thought it was just dirty so I cleaned it but still had the same thing happen and finally installed it from an RPM off of the Internet.
A couple hours later I tried to install Grip because KsCD just stopped playing for some reason and I was never able to start it back up. Once again I went to the package manager and used the same CDRW disks. This time it installed perfectly asking for disks 1 and then 2. Very strange. Between the first installation and the second one I rebooted my computer for unrelated reasons. At first I thought I was having mounting issues even though my setup automatically uses automount.
Hmmm strange problem and this is the first time I've encountered it (man other successfull Mandrake installs)