You'll need a program to mount the disk image to. A popular one is
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. Personally, I use an older version - 4.35.6.0091 to be exact - as I found the newer ones were giving me pop-ups and trying to make me buy the pro version. I usually mount the smaller file and then follow the instructions in the OP.
Sometimes I get an error when opening the .mdf file. If that happens, I just open the Daemon 'Mount 'n' Drive Manager' and drag the file to the 'Image Catalog'. After that, continue to follow the instructions in the OP.
[EDIT] If you are having troubles to insert the second disc, then open the 'Mount 'n' Drive Manager' and you can eject the current disc image and drag disc 2 to the 'Image Catalog'. Wait a few seconds and then click continue on the game installer.