Hello Daneicher,
It's not unusual that the installation software hasn't asked you for additionnal cdrom, as quoted above cdroms 2-5 contain additionnal software and various NLS messages, so if you install, for example, AIX on a system without graphic/exotic adapter and keep english language, the other cdroms won't be needed.
If you want to install software from the AIX cdroms, insert the first cdrom and use :
smitty install_latest
then select /dev/cd0 , and before choosing to install everything, check the content by pressing F4 when the cursor is above the field "Software to install" (F7 to select / deselect sw to install,ENTER twice to launch install).
Note that you don't need to make this operation for the 5 cdroms : the list which displays on the screen is the list of the software of the 5 cdroms, smitty will ask you the needed cdrom in case you select software which is not on the first one (there is a .toc file on the cdrom which tells smit what is available to install)
If you want to install an AIX Maintenance Level, insert the update CD and use :
smitty update_all
and specify the device (cdrom) or folder where the maintenance level files are.
regards