Welcome to the Microsoft Eradication Society!
It should be impossible to start installation from the second CD, perhaps you marked the CDs in the wrong order.
Install windows fisrt because windows will overwrite the master boot record if you install Linux first. Then install Linux, linux comes with a boot loader that will let you be able to choose between windows and linux at startup. The installer will be very helpful to you about this.
I find the Linux installer a lot easier than windows. I am looking at a windows installer right now, and this is the second time i tried to install it.
[ May 30, 2002: Message edited by: Master of Reality ]
[ May 30, 2002: Message edited by: Master of Reality ]