I hope I am actually of assistance here.
I can state for my own self, that I can even recall installing original Steel Panthers way back when it was just called Steel Panthers.
I have never myself personally ever encountered any form version or variation of the game that was actually not on a cd rom or a complete download file.
Disk 2 seems to hark back to the days of multiple 3.5 disks though. And that has me stumped personally.
I am not saying it is something to do with your actual computer, because I can't find any way to actually make it something your computer could have created.
Still, you do seem to have an odd problem.
Can I ask, what was your source of the install program and actual date you downloaded it.
Second, do you have a broad band connection? Was it difficult for you to get the downloaded file?
Your downloaded file might not be intact in some way. You might have to re download the whole file (it does happen occasionally). The disk two comment might just be the computer responding in the only way it knows how to, to a broken file.
I LIKE that my life bothers them,
Why should I be the only one bothered by it eh.