“Insert disc 2 to complete the installation”

I am trying to install a game in my laptop. Actually this would be my first time to install a game in my laptop, but when the installation is almost done the screen popped up an error message like this "Insert disk 2 to complete the installation" which I don't understand? I have the cd already but why did it prompted asking for another cd?
What would be the lacking of this installation?
What would be the next step to complete this one? Do i have to buy another installer for the disk 2? Anyone can help this out?
Thanks.
