Maybe its a cd-rom plugin problem ? ...I used TSGMSCDEX and it worked fine in conjunction with the "change disk" feature. If TSGMSCDX doesn't work for you, try Barrett-Kazzuya, or Pete's cdr plugin.
As a last resort, do the following : After you change cd, but before you press the "OK" button (that's the final confirmation of the "change disk" feature), open the "my computer" icon, then select "view" and then press "refresh". Then press "OK" to confirm cd change.
Oh, another thing: It seems than no matter what kind of cd (psx cd, music cd, pc cd) I use at the shrine, it always produces the same monster !! (in my case, a yellow blobby creature, kinda like pacman

). Has anyone else experienced this problem ? I mean whats the point in trying to make this game work if you can't use your spare CDs to produce an army of diffirent monsters ? (not that is something wrong with the default "pink monster", but...)