Install via the normal 'Install unsupported software' wizard; to save messing with CDs you are probably best to perform a custom install and tell the installer to install all components from all CDs. Once the main install is finished, do not bother installing the Roger Wilco or GameSpy components (network play is unavailable). You will need to have the CDs handy to play the game, as it requests game CDs in the drive when you start it. All gameplay should be normal (as per a working Windows install), however you will want to check out the Known Issues area for some caveats, and the Tips & Tricks area for some tips to improve the gameplay experience.