I have had this exact same problem:
Do this, it worked for me.
When it asks for the second CD, simply remove your first CD and close the CD-ROM with nothing in it and click "OK". It will then tell you it cannot mount the device and ask for it again.
When it tells you it can't mount it........put CD number 2 in, close the CD-ROM and click OK. It should be OK from that point on.
Mine would give me errors on the install unless I did that. Not sure why.