This depends on so many factors, it's going to be impossible to pin-point without further information. My best guess, though, is that you downloaded a bunch of data that's supposed to be on a CD. Your best bet is going to be to burn this data to a CD.
Since it sounds like you've already gotten the installation going, all you'll need to do is burn the data for the 2nd CD and insert it when it prompts you.
This is the best I can do considering the information you've provided, hope it helps... if not, you'll need to be more specific and I'll try to help out some more. You can e-mail me through my profile if you don't want to deal with anymore of the "just buy the game" elitists.
~Scottie