You'll need an SCSI-tower (case for drives, power supply and connectors) with a CD-ROM-drive.
You have to connect your CD-ROM with the K2600 using the right (!) SCSI-canle. You find the specifications in your manual. At the SCSI-tower there should be a switch to set an ID-number for the CD-ROM. In an SCSI-chain your K2500 should be ID#6, so set the CD-ROM to any other value. If you don't have a HD installed in your K2600 you have to set the termination-switch at the back to "terminated", otherwise it's alredy terminated. Also take care that the CD-ROM is terminated, there should also be a switch or something at your SCSI-tower.
An SCSI-chain is a chain of some SCSI-devices, that are connected in a row, in your case just CD-ROM <> K2600. The devices on both ends have to be terminated, the other ones must not be terminated, so in your case both devices must be terminated.
If you have everything connected your CD-ROM should appear in the list in "disk-mode", then you can handle it like for example the flopp drive and load files.
If you have CDs with samples these are only stored in sample-memory. If there are programs together with the samples the programs are stored in program ram and the samples still in sample ram.