Go into Software Media Manager, and REMOVE any CD you do not currently have...
e.g. 4, 5 & 6 if listed.
Exit.
Then go here
http://www.zebulon.org.uk/urpmi_en.html
and set up your sources (do this as root) as indicated.
Now try again, this time it will work, pulling missing files from the internet.
Also you'll find a new enormous amount of additional software available to you in an easy to install and available format.
You can also install encrypted DVD playback support, additional drivers, etc... things which were missing from your 3 disk set.