In case you don't already know, if you try to play from the cd-rom/dvd drive directly, you generally cannot play faster than 1x in Windows Media Player. You have to save it to your hard disk and then play the file locally. There are plug-ins for WM player that are free or require a payment. They can improve the audio quality of the files, generate effects, and some enable faster playing from a cd. Access WM plug-ins from the menu bar and then click "search for audio plug-ins," or something to that effect.
I use Creative Mediasource Player, which does allow me to play 2x directly from the CD/DVD drive.
Oh, yeah, another thing: The Goljan lectures are imprecise in the classification of each lecture in terms of systems/topics covered for each cd. I found that some CD's overlapped in subject matter with the next one. It was important to me because I split everything up to correspond to what I was doing in class at the same time.