I can only conclude that you downloaded the KUbuntu installer and not the LinuxMCE install dvd.
I think Venom986 is right! The DVD actually doesn't
install Kubuntu or LMCE at all. It blows a ready made, pre-built image onto your PC. Sounds like a subtlety, but the difference is, you won't see any of the normal Linux installation steps, it just unpacks the image in text mode and starts into it so that LMCE can set itself up. It really is all or nothing, if it failed then you wouldn't even get Kubuntu, they are inseparable in that sense. Whereas, if you installed from the CD(s), you would get exactly what you are describing - the first stage is a simple Kubuntu installation, then you have to put the second and third CDs in to get the LMCE part.
I think you have downloaded the CD version by accident....