I took your advise and added copied both disk to my hard drive, folder name REX4 with a sub folder DISK 2, while doing so, I noticed that disk 2 not only had rexte3.cab, on it, but also rexte4.cab. So I copied both of those into the main folder REX4 and started the install and everything went well.
I received no instructions, and all times before, when it took more than 1 disks to install a program, it would stop and tell you to insert the second disk, etc. So, I found this very strange that REX4 did not choose to do the same.
But anywho, I got it up and running and will try it out this morning.
Thank you very much for your help.