Your system is having problems extracting the large compressed CAB files on the disks. This is usually down to lack of virtual memory. Try installing it again, this time after shutting down all unnecessary applications running in the background. In particular, shut down/disable anti-virus programs which are known to cause this sort of installation problem. Remember to do this over again if you have to reboot during the install.

OK, good luck. Please tell us if it works. If not, I'm sure someone else will come up with something.

Of course, it's possible you have a bad disk. I think this is unlikely. First make sure the CDs are not dirty, damaged or scratched. If they're damaged in any way, take it back for a refund.

Go offline & exit all programs. Shut down all those background applications. EnditAll is a great little utility for doing this safely with a single click. http://home.ptd.net/~don5408/toolbox/enditall/
Also disable any anti-virus programs while doing the install. If setup appears to lock up, give it a chance as there's a lot of big files to decompress. This might take a while so be patient.

For more details check out the FS2002 Knowledge Base. http://support.microsoft.com/default.aspx?scid=kb;en-us;245063