Seems like you're new here... Well, I'm new too, and I give you a warm welcome to LucasForums!!
To solve your problem, you might want to check the Sticky called "Problems with games? See here first.". You'll find it at the beginning of the thread list where this same thread is located. Perhaps the solution to your problem is installing the program ScummVM and running COMI from there. In that Sticky you'll find the link to download it.
The game comes in 2 CDs because of the extensive lines of dialog and cutscenes all around the game; a single CD wasn't enough to store the entire game. You install the game using only the first CD, but as you progress through the game eventually you'll need to insert the second CD. There's no need to do any type of installation from CD 2; it's only purpose is 'gameplay'.
I hope this helps you. Good luck!