The only thing like that I remember was copying all the files from all 4 CDs to a DVD and playing off that.
So when you say put the files, you mean to extract all 4 ISOs and just dump the files into the root folder of hte CD? Awesome, I'll have to give that a whirl.
$ ls -hl Bald*
-rw------- 1 newby staff 635M Sep 18 2008 Baldur's Gate 2 - Throne of Bhaal.iso
-rw------- 1 newby staff 2.4G Sep 18 2008 Baldur's Gate 2 [DVD].iso
-rw-------@ 1 newby staff 2.8G Sep 18 2008 Baldur's Gate [DVD].iso