i had the same problem between disc 2 and disc 3. i solved by copying the entire content of the 4 cds on the hard disk and launching setup from there.
just create a directory with the same name of the cd label (not sure if this is necessary but i did so) and copy the entire cd1 in it, then copy the "data" files (the big ones) from the other cds and start setup from your new directory.
you still need cd1 in the drive to play of course, .it will be requested towards the end of installation.
it worked for me, i hope will be useful to you too
bye
stefano