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This has worked for UT2k3 (and many other games with InstallShield installer as well):
I've just copied all files from all CDs into one and the same folder on my harddisk. If a folder/file is on multiple CDs, I allways choose overwrite at the later CD.
At the next step, I install the game from this HD-folder. If the install works fine, I burn this folder to a DVDR.
This way I have backups of most of my games on DVD, can install them unattended (no need to confirm new CD) and have spare place for patches, fixed exes, walkthrougs, maps, AddOns,...
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