Dear Bob,
All I want is something that doesn't reach end of life so rapidly for this application. I should have checked more carefully.
I will try Scientific Linux which is supposed to install from the cd.
Thanks for the help.
Patrice has created an installable 5.2 LiveCD, containing an updated (so not RHEL5 conform) version of Anaconda for installation:
http://www.nanotechnologies.qc.ca/propos/linux/centos-live/i386/isos/
You should also be able to create your own (more recent) installable LiveCD using livecd-creator, as described here:
https://projects.centos.org/trac/livecd/wiki/InstallToHardDrive
Best Regards Marcus