You don't Boot it in Windows,
He is new to OS's not The "Graphical" internet.
Anyways, Your PC may not Support USB Bootable Devices so i advise Downloading the DSL USB Boot Floppy .img file Use "Rawrite" to Write this Image a spare Floppy.
Next Get your dsl-xxx.zip with DSL USB in it and (last one i used was anyway :S) you then just put it on the USB stick and Reboot your PC with the Floppy in and the USB Stick in
Hope this helped, i thaught there was a Howto for this? for Future reference Anyone trying to get an OS working don't messaround Froum Posting it doesn't work just experiment your self with the OS.
Jim,