SegaXtreme

I just got neverwinter nights (hear it's great) but i cna't install it. After i get through the first part it asks me to "enter install disc 2" and below that there is a search window that just says D:\ and a brose button next to it. Now it says ENTER install disc to so my first reaction would be to pop out install disc one and put in install disc two. but i get an error saying it is invalid. I don't know what that search window is there either since i didn't install an installation disc on my computer..

what's up with this?