I just installed MCE a few weeks ago. MCE is essentially just XP Pro with a couple of small changes, so the installer is exactly the same, they just tweaked it to also make it load the MCE software.
Microsoft's crappy installer isn't smart enough to realize that the install CD1 already has SP2's files on it, so just leave it in the drive and hit OK when it asks for the Service Pack 2 disc. Later on in the process it also asks for the MCE disc. I discovered that you MUST let it install the MCE software from that disc, otherwise several major issues occur (the WMI service does not get installed, which prevents several other things from working properly, including advanced network device configuration, and being able to see CPU information on the System Properties dialog).
It's perfectly happy to let you complete the install and download all kinds of updates, and identifies as simply XP Pro if you don't install the MCE software, but it doesn't really work right overall.
I think it's possible to modify certain files on the CD to prevent it trying to install the MCE software, so that it will properly complete the install without the second CD, and then you can make a custom bootable CD using that modification. I don't know exactly how to do it though, and I found it easier to just install all the MCE stuff (considering it took several HOURS to get to the point where I realized that's what I needed to do).
You should have gotten 3 CDs with a recent copy of MCE OEM version. Disc1 is the installer including SP2, Disc2 is the MCE software, and Disc3 is just one critical update to MCE that they want to make sure people get even if they don't use Windows Updates.