Strange to see many users saying the conversion senseman provided not working... Okay here is how I splitted my DVD along with the edited MSI..
Madagascar : Return 2 Africa DVD9 into 2XDVD5 MULTI
1. Copy all data to a temp folder
2. Edit the "Activision(R).msi" in the temp folder with "orca" similar to the pic given below
os759s.jpg
For noobs and lazy bumps : Here is the edited
MSI + MST
( Note : File compressed using 7Zip... If you do not have 7Zip download it here for free :
http://www.7-zip.org )
3. Burn all data in the temp folder except "WW_cab2.cab" to a DVD. Volume label for this DVD will be :
MAD2
This will be your first DVD ( The ones who downloaded the edited MSI don't forget to replace the original MSI with the edited one prior to burning

)
4. Burn "WW_cab2.cab" to another DVD. Volume label for this DVD will be :
MAD2D2
This will be your second DVD ( Include the Mad2.ico and autorun.inf files to the DVD if you need. Dont forget to edit them before you burn. You have to manually copy the icon file from "Setup\rsrc" on your temp folder to your temp root folder. )
Edited autorun will look like :
[autorun]
open=0
icon=Mad2.ico
4. That's it...

Install the game and play
TESTED & WORKING FINE 
Install sequence DVD1 - DVD2 - DVD1
( Note : Since this installer uses external mst files for the installation, I suggest users to download the provided edited MSI and MST files and replace them to the originals. This will make sure that your conversion works fine as a MULTI installer

)