ok first you download the .iso file from the puppy linux website. get this program
http://infrarecorder.sourceforge.net/ once you have the program installed and the .iso get a burnable disk and burn, NOT THE FILE, but make sure your putting whats in the file on the disk. kinda like unpacking a .zip folder. (this really doesnt belong but a .iso is a compressed copy of a disk. it can be decompressed using a program like winace. if you burn the disk correctly you decompress the file in the process, and hopefully make it bootable). simply put in the disk, turn off your pc, then turn your pc back on. if it doesnt load puppy linux you did it wrong.
this also probably doesnt fit but...
if you have an OLD pc and dont have a CD drive you can create a bootable floppy that will start the install process from your desktop, but i dont know how... ive just heard it can be done.