You may not be able to run a retail 9.2 install disk if it's the last Mirrored Drive Doors Mac. I think the only way to get OS 9 installed is from the software restore CD's it shipped with due to the fact that they made minor revisions to OS 9 specifically for that machine after they stopped updating the 9.2 retail CD's.
You might be able to drag-and-drop it using Pacifist to extract it from the installer.pkg.
What model exactly do you have, and was OS 9 not installed on the machine when you bought it, and do you have all the disks it shipped with?
CV