Also... are you installing Mac OS 9, or Classic? Classic installs just like a Mac OS X program, and is simply the support files needed to run the Classic environment.
Mac OS 9 will require you reboot into 9 and run the installer from there.
Full retail copies of Mac OS 9 have a large orange 9 on them. Machine specific versions were not necessarily gray, but were also printed in solid colors at times, like bright orange for first-run iBooks, bondi blue for early iMacs, and I think the fruit iMacs had installer media and manuals that matched their colors. By 2001 or so, though, all included discs were gray.