I have this same issue as Bogorra with a 11-29 build.
The Ultimate RPG Archives Disk 2 has:
The Bard's Tale: Tales of the Unknown
The Bard's Tale II: The Destiny Knight
The Bard's Tale III: Thief of Fate
The Bard's Tale Construction Set
Ultima Underworld: The Stygian Abyss
Ultima Underworld II: Labyrinth of Worlds
Wasteland
Dragon Wars
On the root of the CD is DOSSETUP.EXE
When you run this it opens up a selection menu allowing you to select the game you want to install. After selecting the game, this excutable lauches another excuatable called RPGINST.EXE. There is a different RPGINST.EXE in each folder for each game. Which one is launches depends on what your selection was when DOSSETUP.EXE was run.
When any RPGINST.EXE is run it gives you the option to what directory you want to install to. After selecting your directory, it shows a screen saying "Installing XXXXXXX... Please wait" Then says the program was installed.
However... when you go the the directory where you installed it... There are just empty directories.