I think that your problem is uae version.
With e-uae.sdl version you will see requester asking for next disk. (CTRL+ALT+F1)
Non sdl version can't open requster on custom screen so you must press escape key to close hidden requester and get back in emulator.
After installation you can swap e-uae for non sdl one or change your startup uae script.


[ Edited by Condor 09.06.2014 - 20:31 ]