This can be slightly complicated. Are you talking about floppy disks or CD-ROMs?
In some cases you can just combine all the files from each of the disks into a single directory and run the installer.
In other cases, you can start by mounting a directory containing the contents of the first disk in DOSBox. Then when the game asks you for the next disk, you switch to Windows, remove the contents of the mounted directory, copy the contents of the next disk to the mounted directory, switch back to DOSBox, press CTRL-F4, and keep going.
If neither of those methods work, you will have to use disk images. You can make BIN/CUE images of CD-ROMs using ImgBurn, among other programs; you can make floppy images using RawWrite for Windows. Then you can mount all of the images simultaneously using the IMGMOUNT command in DOSBox (see the readme for examples) and press CTRL-F4 when you need to change to the next image. Note that you will need an SVN version of DOSBox to use this technique with floppy images.