Does the installation ask you to insert the next CD?
Every time I have tried to install a multiple-disk game, PlayOnLinux has never asked me for the next CD. Something about how they are mounted and how the installer looks for them.
So instead I'll copy all the data from each CD into a single folder on the desktop.
That seems to work much better and eliminates the CD installation.
Normally every file on Disk1 needs to be copied, but Disk 2 (and so on) only needs game data files. Like .pak .cab .dat
For example: Disk 2 & 3 would have a Data2.cab Data3.cab etc.
So you won't need the "autorun" files, just copy the game data.
I have done with with CD ROM versions of Battlefield 2, Far Cry and several other games.