I had the same problem but I did that :

1- I did a copy of all the 3 disks in a folder named Majesco\Jaws Unleashed.
2- I unzipped all the CABs there and then deleted the CABs when done.
3- I moved the WMV files in a folder that I named "movie".
4- I moved the GDW files in a folder named "data".
5- I changed the "Jaws.exe" by a NO-CD fix I found on the net.
6- Like specified I did a REG file to indicate the location of the folders
by creating a new text file and copied that:
Windows Registry Editor Version 5.00
[HKEY_LOCAL_MACHINE\SOFTWARE\Majesco\Jaws Unleashed]
"Language"=dword:00000409
"ExecutePath"="E:\\Majesco Entertainment\\Jaws Unleashed\\"
"MovieFolder"="E:\\Majesco Entertainment\\Jaws Unleashed\\movie"
"DataFolder"="E:\\Majesco Entertainment\\Jaws Unleashed\\data"
7- I saved it as "A.REG".
8- Did a double-click on the file to MERGE the REG file and clicked "yes".
9- I did a double-click on "Jaws.exe" and started to play.
Simple as that. No need to install another OS to this simple task. Basically the installer is just doing that : unzip some files in the "Program Files\Majesco\Jaws Unleashed" folder and write the location of thoses files in the registry. It is easy to do this manually and bypass the dumb stuck msi installer. Now I can play the game with Vista and I don't even have to use the CD 1 anymore to start it.
Hope this will be useful!
Erick