README.TXT is usually a good place to start.
Have opened the program and inside the program opened each of the four disks (the list got bigger and bigger until disk 4 was opened; then it got smaller),
Apparently, you can only have one image open (the last one) at any one time. It just so happened #2 list was longer than #1, and #3 was longer than #2.
went to the disk menu and selected format disk
You don't format a CD. It thinks you want to make a floppy disk from the image.
Read README.TXT and I'll bet you can find what you need. Like I said before, you probably want to Extract each of the four floppy images to a common directory and make a CD-ROM ISO image of all those files. Then burn the image onto a CD-R.
However, now that I tried it myself—extracted all the files to a new directory named "win2kboot"—it doesn't appear that Winimage is capable of making a new CD-ROM image. In fact, the HLP file says Winimage can't edit CD images, only write them. (I haven't time to really pour over the documentation, though.)
If I had a CD burner, I'd just burn all those extracted files onto a CD and see if that made a bootable CD-R. But, I don't have a CD burner at the moment to try it.