I got the game installed and it's been running great. Thanks all for the tips.
Though it's been running great, I just ran into a problem. I just completed the level where you escape from the palace. I put my stars in the force powers I wanted and hit OK. It then asked me to insert CD #2 and press Enter. I do this, but it won't continue. The message just stays up there. I can hit No, but then I return to the menu without saving.
BTW, Windows shows the CD in the same drive as I installed.
Oh, I'm running Vista-64 if that matters.