From what it sounds like, you may have a scratched/defective disc. Maybe bring it back to where you bought it (if Brick & Mortar), or otherwise get in contact with either the retailer or Midway.
BTW: For $9.99 the Unreal Anthology is an unbelievable value. I had a lot of fun playing through Unreal 2 for a couple of nights. I don't think I would've wanted to pay full price for it, but with that, Unreal, Unreal Tournament, and UT2004, for free... How could I say no?