I assume you are talking about the old game Call of Duty 2, not Modern Warfare 2.
This game requires several CDs to install. You are installing from a legitimate copy, right??
Make sure you have the correct cd in the drive, i.e. make sure you have the "play disk" in the drive, not one of the other install disks.
I had a similar problem with KOTOR back in the day. I think this is a copy protection thing (securom ??). Make sure the disk is clean and not scratched, try taking it out and reinserting again also. I think that some virtual drive software also may cause this error.