makeing 4 mdf files into 1 file

hi i have a pc games with 4 cds in cd 1 there is 2 files mdf file and mds file. and its the same for cd 2 3 4 i mount cd 1 useing demon tool i start installing the game. then it ask for cd 2 but i cant go on because my cd 2 is on my hard drive. how do i put the 4 mdf files on a disk to make 1 image or do you have to do it a diffrent way thanks for any help.