Oh wait, You load them all at once? Well thar's yer problem.
For some reason, in order to Play FFVII, you must mount the disk image onto the same drive as the install disk was. Like, lets say you mounted the install disk on E:, when you go to play the game, you must mount disk 1, 2, or 3 on drive E:
I don't know why it does this, but I had the same problem. Try it and see if it works.