I'm going to make a guess here that you ahve downloaded these files off the net. If so then I can't help you because all warez is banned on this forum.
If however I am wrong and you have actully made these files then I guess you have 2 different cd's there. One called install and one called play.
What you need to do is burn the install.mdf into a cd and then play.mdf onto a different cd.
You will have to use Alcohol to do this because this is the program they were made in. Make sure that the two file called install are in the same directory as each other becuase when burning the program may need to use the mds file. Same goes for the play files.
I am also going to guess that you need to use the SecuROM NEW profile here because this is the only one that uses the MDS files.