It turned out I was using the wrong CD. After some time I figured I could try the other CD and sure enough it was bootable :) I also didn't get any missing files errors. But unfortunately I also didn't get much further. While installation at first goes at normal speed, over time Parallels and installation just becomes slower and slower and eventually almost stops. Looks like a bug in Parallels. I'll have to ask them about this. If all else fails I guess I should just buy myself some old computer and install OS/2 directly on it.