I bought heretic 2 for linux recently and had the same install problems as well. I figured out what was wrong with my copy. The install script looks for a file titled "heretic2" in a certain directory on the cdrom, but the file is actually in a subdirectory of that folder.
After I had copied the file to /usr/local/bin (where the script was trying to install it), I found another problem. The file "heretic2" (which is the executable for the game) looks for the game's files in the directory the file "heretic2" is put in. To correct this I just moved "heretic2" to the main directory all the other files get installed to.
If your cd is like mine you could just do the following from a command prompt:
cp /[mount location]/bin/x86/glibc-2.1/heretic2 /usr/local/games/heretic2
To run it, you may have to cd to /usr/local/games/heretic2, or else create a link to the file.