Where this all gets fsck'd is that the installer will prompt you for CD2, you can eject CD1 and then successfully mount CD2 as the installer proceeds normally. However, you are then prompted to insert CD1 for a second time. This procedure is part of the stupid Copy Protection scheme where the installer creates the Windows Registry entries, so you can't really skip it, and for whatever reason, Crossover can't accommodate this final swap.
It should be possible to copy both CDs to a directory named "COD" and use the crossover option to treat the directory as the installation media, but that also fails to work.
It should be possible to create a single install DVD from the two CDs, so look here for that. I have not yet attempted this and will post more when I do.