If you edit the ini file like Kezardin says, you will only need the first CD no matter which area you visit. In fact, I believe the installation is supposed to do just that if you do the full install but for some reason it does not update that particular file.
On an unrelated note, another thing that may help you not quit the game is enhancing it's resolution:
http://www.gibberlings3.net/widescreen/
This will allow you to set any resolution that you want (I play at 1440x900 widescreen, and boy does it make a difference).