It may differ slightly depending on which version of the game you have. I've only seen the ones that came on 2 CDs myself.
It should just be a matter of copying all the necessary files (see
this page for a list of them) to a new folder on your hard disk. Some of the files may appear on both CDs. In most cases, that means they're identical so it doesn't matter which one you pick, but in a few cases the files need to be renamed (as indicated on that page I mentioned) so that you can have both and ScummVM will be able to tell which one came from which CD.
Once that's done, you ought to be able to use the "Add game" button in ScummVM to point to the folder where you put the game. If everything goes well, ScummVM recognizes which game it is and adds it to its list of games.