If you plan to run CentOS 5, why not install it directly? If you want a smaller installation medium, you can download the os/<arch>/images/boot.iso ISO image and do a minimal netinstall. You could also use just the first CentOS 5 CD and do a minimal install (disable all software groups).
Actually, I just tried this again with the first CentOS 5 CD, and it prompts me for the second one, even though I disabled all of the packages similarly to how I did when I used the DVD version.