I believe it will also let you browse to the directory/drive where the 2nd CD is. If that's the case, just select the disc again in the explorer interface, and point it to one of the directories on that disc until it accepts it (sounds like it might be looking in the wrong path). If you hit cancel, you would indeed only get XP Pro without the MCE extension.
I've come across this a couple times before but forgot exactly how I got around it. Have you tried putting disk 1 back in when it asks for disk 2? I think it is looking for files from XP Pro Disk 2 which is actually on MCE Disk 1
Also, remember that you need a DVD decoder if you want to play those files. I went with the nVidia one, and E pointed out that if you are attaching this to a reciever, it can do the decoding so buy the cheap version.