Today i downloaded the freely available MSDN Library (May 2006 Edition). I appended .iso to the filenames and mounted the first image with Nero ImageDrive. After a while i got the following error message: “Source file not found: _17693_RTL_x86_enu_NET_Framework_SDK_HxS.cab”.

Apparently this file exists on the second disk (Why doesn’t the installer ask me to insert the second disk?). And yes, a little while later the same thing happens again when the third disk is expected….
A bit late, but I had the same problem. I was using Microsoft’s Virtual CD tool, and mounting all three images (as Z, Y, and X respectively, because that’s the order it adds drives in), and it would say it can’t find Y:\_17693_etc., and I’d have to cancel the installation. It seems the problem was I’d mounted all three at once. When I tried using the Z drive and mounting and ejecting them individually, it worked fine. It even asked me to insert the next CD.
Just found the solution. Copy the entire contents of all 3 ISOs into one
> directory (answering yes to all overwrite queries). Then just run the VS
> setup, select the directory, and everything seems to install normally.