I can only wonder why you're installing a system from 2009. The multiple CD distribution form was quite usual at those times, so small wonder it does ask for another CD. The first CD used to be the one for the installation boot-up and then the others kicked in in the process. In the link in your question, there's a magnet link to a DVD version. I'd rather go for this, as your VMWare may not be that far compatible historically. (It may, just my guess.) In case you just want to install CentOS and somehow drifted to 2009, go to their main page and take the simple route via a download section present on all such sites.