Are you hitting escape and then clicking "File", then "Change Disc"?
Whether you are or aren't, try doing the opposite. You may also want to consider ripping the cd and trying to do it virtually. (Either on it's own or mounted-daemon's tools works wel for that)
EDIT 1
For the record, I've never even played a monster rancher game and only have very general knowledge of how that feature works.
"The world is like a game. Once a m*********** get a understanding of the game, and what the levels and the rules of the game is, then the world aint no trick no more. The world is a game to be played." -Pac