If you have a problem when installing asking for Disk 2, download the KaZaA Lite EXE file again. It explains that problem on their website. I encountered the same problem after the first download, but it was fine after I downloaded it a second time.
KaZaA Lite download link
(Edited with the new download link)
KaZaA Lite download link
(Edited with the new download link)