I did not understand how you are trying to install the game
. I suppose you are trying using the installer shipped into Unreal's 3rd disk right?. Well, open a terminal, and from anywhere, type:
To mount, then specify the path to the installer OUTSIDE the cdrom directory. Let's say you are at your home, then type:
That would do it. Just unmount the CD when you are asked for another disk (unmount /mnt/cdrom).
Again, I did not understand your problem, but most peoples have problem switching disks, because they are at the cd rom directory, and that's why they cannot unmount it.