I used to have a FFXI install disc on DVD-Rs. I followed instructions on Bluegartr forums several years ago to make it. It involved getting an MSI editor to edit the MSI installer to point to the correct setup.exe files in each of the expansion packs. This way it won't ask for the discs and it'll just run the next setup.exe file.
Basically, my DVD-R looked like this:
FFXISetup.exe
setup.msi
..\pol
..\roz
..\cop
..\toau
..\wotg
(Something like that.)
You had to use a tool called Orca:
http://msdn.microsoft.com/en-us/library/windows/desktop/aa370557.aspx
Which is available in the Windows SDK for Windows 7:
http://www.microsoft.com/en-us/download/details.aspx?id=3138
You can simply just toss the FFXI and PlayOnline installation files plus the expansion packs into individual folders and burn them to a DVD-R ensuring that they're in their own individual folders. It's the simplest way. After that, it's just a matter of running the individual setup.exe files.
The other way is what I said above: Editing the setup MSI file so that you can automate the installations, but it can be a daunting task if you don't know how to do it.
Of course, the easiest way is this:
http://www.amazon.com/Final-Fantasy-XI-The-Ultimate-Collection/dp/B002SQNGX2
(It is the reason why I haven't bothered updating those DVD-Rs to Seekers of Adoulin. It saved myself the trouble.)
As for the updated files, the best way to download them from BlueGartr forums that other players have made available and burn them to DVD-R. You can make a self-extracting EXE using
7-zip and have it extract the updated DAT files and anything else to the directory you have FFXI installed to.