Here's the fix:
Before going down the stairs where it asks you to insert Disk 2, save the game.
Just stay in the snowfield after beating Sniper Wolf and save the game before going into the building and down those stairs.
The system just needs to see a save towards the end of Disk 1 or it thinks you haven't finished Disk 1 and will not let you proceed.
The message "Wrong Disk" is the wrong message - it should have said something like "You must complete Disk 1 before proceeding to Disk 2" or something like that and it wouldn't have been so confusing.
The unfortunate thing is if you haven't saved for awhile before going down those stairs, the only way out is to shut down the PS2 and go back to the last save point on Disk 1, which means you may have to defeat the helicopter and Sniper Wolf all over again.
Just be sure to save the game in the snowfield before heading down those stairs!
Note 1: Go ahead and go down the stairs after saving - if you just turn off the PS2 and put in Disk 2 it won't work.
Note 2: There's lots of good stuff in the other buildings around the snowfield, so you might as well gather them all up and save again, so you have lot's of stuff going into Disk 2. Careful - all of the rooms have gun-cams and one of the rooms has mines in the floor.
- CC 5/2008