Take a look at your burned CD in Windows. If it just contains one file (something like Mandrake_one_kde.iso) then you have done it wrong! You should see at least two folders, called something like 'boot' and 'isolinux', plus various other files.
The Zenwalk manual as a nice clear guide on how to burn an ISO, take a look here:
http://manual.zenwalk.org/en/ch02s03.html
Obviously it relates to Zenwalk but the principal is the same for all distros.