sounds exactly like Doom 3.
even though the next file it needs is present it is still asking for the next disk anyway, as it is programmed to ask for the next disk at certain points during the installation.
it checks the volume label, so if your burned DVD is just called 'FARCRY' then it knows its not disk 2. for some reason it doesnt complain when installed from hard drive
BarryB is right - you need to hack the installer. is there a .MSI file on the first disk? (will be called Setup.msi or Far Cry.msi). this is what needs editing. use Orca or Masai editor (both free to download, personally i found Masai was easier to find, set up and use)
What you need to do is open the .MSI file in an editor and go to the 'Media' section. There will be a list of VolumeLabels. Change them all to the same thing (ie just FARCRY will do) and name your DVD this when you burn it.
Check out the 'Doom 3 Convert to DVD' thread for more info and post here if you get stuck
________
C/K