Ah, ok. I forgot about the Disk 1 - Disk 2 - Disk 1 juggling routine. Also, looks like you got the SP2B version, mine didn't come with the Update Disk.
Here you go:
Windows MCE OEM is supplied on three discs. Two of them have holographic faces; if you angle them just so, you'll be able to see that they're labeled "1" and "2." The third is a silver-faced disc that's labeled "Updates for Version 2005." The labeling is pretty much moot, since at no time during the installation process will you be asked for "Disc 1" or "Disc 2" or the "Updates Disc."
If you're starting with an existing XP installation, start by popping Disc 1 into your optical drive. It will autoplay and ask you what you want to do. Of the several options presented, select "Install Windows." This will be followed by a second screen, which will recommend that you perform an upgrade. If you follow this procedure, you'll retain all of the data and applications that already exist under your XP installation. (A second option, "New Installation," will let you junk everything that's on your hard drive and start fresh.)
Of course, if you're starting with a blank hard drive, check your motherboard's BIOS settings to make sure your optical drive is set as a boot drive, start your computer, and slide in Disc 1. After a few moments of analysis, MCE will start the process.
The basic rule is that you begin with Disc 1, swap in Disc 2 when you're asked for an SP2 disc, and go back to Disc 1 when you're asked to switch again (or told that such-and-such file can't be found).
Everything else is pretty much automatic. If you've never done a Windows install, just relax and read the screens as they're presented to you. The questions will relate to user IDs, passwords, and time zone settings for Windows' clock. It's definitely not rocket science. (By the way, you will be asked to enter the security key, so don't think you're going to be able to avoid that if you're doing an upgrade.)
Once you're finished juggling Discs 1 and 2, run the silver-faced MCE upgrade disc. If it finds anything to complain about, just do what it says and then try running it again. (Remember, MCE is an OEM product, not an end-user friendly installation. Don't get too bent out of shape if it asks you to jump through a few hoops.)