I've had this problem before msyelf and drove myself nuts with it!
Here's now I solved it:
In the latest update of UAE I've checked the "UAEScsi" and "Create Logfile" checkboxes before starting the emulator. Once it's started (and OS3.1 is installed on a "fresh" partition) then I close out of UAE after a successful boot and read the logfile.
It should show the device number of the CD ROM with the legend "UAESCSI = Unit 0" or similar.
Here's the hard part:
You then need to download / copy from OS3.9 CD ROM the CD file system. Unzip (if loading) and place the install scripts on your UAE accessable drive somewhere.
Here's where my system went t#ts up. Upon installing the CDFS, my install script would hang. However, if you're lucky it will ask you which device number your CD ROM is. Simply select the number that corresponds to your logfile and you're cooking with napalm...
If - like me - it goes wrong, you can do it the hard way by assigning the CD ROM as a PC drive accessable by UAE (and labelling the device AmigaOS3.9) and installing it that way, thus ensuring that the CD file system is installed.
Using Dopus (or similar), find the CD File system settings file in ENVARC: and open using a text editor. You can change the device number here and hey presto! You have an accessable CD ROM drive.
