ive had the same problem and found a workaround..
just install the first cd then wenn it asks for 2nd cd (wich wont be accepted..) press cancel .. then exit setup and then wenn it asks if u want it to rollback select NO, now put in the second cd and go to setup->data->main and copy the files to you C:/callofduty/main folder
ive copied the rsrc folder into the callofduty folder 2 , but i dont know if this is required.. but it doesnt hurt so..
now you can play
!