I had this problem with both CDs in the same folder and with an administrative install, both were asking for the Run CD. I created an ISO of the 2 CDs (about a 1GB ISO) and gave it a volume of GEO9NA (2002 version), mounted it with the MS Virtual CD Control Panel and it worked like a charm.

I haven't checked, but there's also an option in AUTORUN.INF, in the [Product] section there is a variable CDNumber. Default is 1 for "Setup CD" and 2 for "Run CD", and an option of 10 for "Singel(sic) CD"... that might solve your problems?