If you are installing on a 2.5 GB hard drive, the chances are you are using a fairly old computer. I don't have any experience with distros earlier than Red Hat 9, but I've installed it and Fedora Core 3 several times. I choose Red Hat 9 when the computer has an ISA card. I choose Fedora Core 3 when I'm using PCI cards or better. I install 128 MB RAM and a 2MB video card. You can install either distro on a 2.5 GB hard drive, but you're not going to have a lot of wiggle room left over. The first thing to do is make sure your computer meets the minimum specifications for your distro. I got RH9 to work on a Pentium 166 MHz, but it's pretty slow.
Both RH9 and FC3 are available for download as a set of .iso files. Once you've downloaded the files, make sure they haven't been corrupted by calculating the MD5SUM for each one and comparing the result to what's posted on the download site. If you have access to a Windows computer with a CD burner and properly installed burning software (such as Easy CD Creator, Nero, or similar) you should be able to simply double click the .iso file you downloaded to create that CD. Once you've created all the CDs for the distro you've chosen, drop the first CD into the tray and reboot. If your burner is working OK and the MD5SUMs are OK, your CDs should be OK.
You certainly won't be able to install "everything" because that would take about twice the disk capacity you have. Try installing a desktop system by taking the defaults without adding any other packages. If your CDs aren't corrupted, your computer meets minimum system requirements, and isn't acting flaky, then you ought to end up with a successful install. If not, copy down the error message exactly and post it here. Good luck!