When does it ask for disc 1 ? When you try to run the setup ? After it has already begun installing and copying files ? AFAIK, it does not have a protected setup, but I could be wrong of course. Only some compagnies do that. Westwood is the major one, microsoft occasionally, and the creators of Operation Flashpoint use safedisc in their patches. NFSHP2 should be protected with safedisc 2. Another possibility is that you botched the copy so much that even the dumb setup can notice something is wrong
Maybe you forgot the volume label or something ? How did you make the copy ? Have you got a safedisc 2 compatible burner ?
Oh, and what happens when you use your originals ? You DO have originals, right ?