I tried installing kotor 1 on my vista desktop, and all 4 discs install correctly, but it then asks if i want?

i tried installing kotor 1 on my vista desktop, and all 4 discs install correctly, but it then asks if i want to create a desktop shortcut just as disk 4 finishes installing, i click yes, and then it says please insert disk 4, and i if cancel it it uninstalls it entirely.... help?