The format of citations for multivolume works depends on a number of variables, including whether all volumes were published in the same year, the number of authors, whether the set has an editor, whether each volume has a unique title, and whether you wish to cite the work as a whole or only a single volume of the work. If you are unsure of how to cite a multivolume source you've used, consult the Manual, 14.18-14.24.
Please note that Chicago now omits the place of publication for books published after 1900 (see the Manual, 14.30). For books published before 1900, they recommend using the place of publication instead of the publisher itself, as it is of greater interest (see the Manual, 14.31).
Example 1 – Multivolume Work
N: 1. Peter Gay, The Enlightenment: An Interpretation, vol. 2, The Science of Freedom (Knopf, 1969), 345-49.
B: Gay, Peter. The Science of Freedom. Vol. 2 of The Enlightenment: An Interpretation. Knopf, 1969.