I found this info about the 95 installation disks on a website, it makes sense, I didn't have any problems until disk #2:
The disks come in MS's new "DMF" format, which holds nearly 2 MB on a 1.44 MB disk. The first disk is a standard 1.44 MB disk, and Setup loads a driver to read the DMF disks.
A DMF disk can get destroyed by a boot record virus, because the virus over-writes the DMF boot record. As a precaution, write-protect the floppies before using them. For some really dumb reason, Microsoft insisted on shipping the disks write-enabled.
Setup will also try to write your registration info on disk 2. If you have the disk write protected, you can just hit "Continue" and Setup will continue without writing to the disk. For details, read KB article Q136111.