Use a program like Nero to burn the "image" (the ISO file) to CD. My guess is they are supposed to be on separate CDs. Normally it's just one CD unless it is a recovery CD, but if it's two, it's nothing to be worried about.
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My guess is one .ISO contains XP and SP2 intergrated then the other .ISO has the rest of XP's updates. I know for a fact when you slipstream XP and SP2 it is only like 600 some megs and it will fit on 1 disc.