There is a file in the root directory of the CD that lets setup know that SPx is installed on the CD. Without this file, the setup won't know where SPx is installed, that is why it giving that error. The file in question is cdromspX.tst, and it must be in the root directory. Since you dont have it, you probably missed putting on the image, and you would have to reslipstream it again. Tack Tech Corp. has a good tutorial on how to slipstream the setup. it is here:
http://www.tacktech.com/display.cfm?ttid=295
Folder Listing generated by Dir2File.
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Folder: D:\
<DIR> Mon, 24 Jul 2006 17:38 5,855 KB BOOTDISK
<DIR> Mon, 24 Jul 2006 17:38 7,429 KB DISCOVER
<DIR> Mon, 24 Jul 2006 17:37 309,218 KB I386
<DIR> Mon, 24 Jul 2006 17:19 50 KB SETUPTXT
<DIR> Mon, 24 Jul 2006 17:19 11,714 KB SUPPORT
<DIR> Mon, 24 Jul 2006 17:19 41,506 KB VALUEADD
Tue, 07 Dec 1999 13:00 0 KB AUTORUN.INF
Mon, 24 Jul 2006 18:36 16 KB READ1ST.TXT
Tue, 07 Dec 1999 13:00 228 KB README.DOC
Tue, 07 Dec 1999 13:00 192 KB SETUP.EXE
Mon, 06 Dec 1999 11:00 0 KB cdrom_ip.5
Mon, 06 Dec 1999 11:00 0 KB cdrom_nt.5
Thu, 19 Jun 2003 12:05 0 KB cdromsp4.tst
Thu, 19 Jun 2003 12:05 21 KB spnotes.htm