I would imagine you should take it back to the shop where you bought it from. They will arrange a replacement.
Just double check if the 2nd CD is not underneath the first one. I remember one of my copies i bought (i have 4), the game cd (disk 2), was sticking to disk one, making it look like there was only one CD.
Also the packaging design also hides the 2nd disk to a degree, since the cd placement area is slightly deeper than normal to hold 2 cd's, so it sometimes appears that there is only 1 CD in, but the other is "hiding" underneath.
Hope the shop will sort it out quickly if it is missing <img src="/ubbthreads/images/graemlins/smile.gif" alt="" />
