Someone is using your CD-Key:
- a friend is using it (if used multiple times)
- it was generated by a random generator (usually irretrievable)
- Blizzard has locked it
- Blizzard has banned it
- you were disconnected (don't worry about this until you actually get online)

You did not install the game to support Multiplayer:
- reinstall as FULL and go from there

Your CDs are broken:
- unlikely, but some parts required to be read are damaged
- the installation process (if Full or Multi) skipped this part due to damage
- they are copied CDs (buy a new one)