well if your using windows, make sure you have "view all files" checked in folder options or it might not be showing all the files in **** small linux, although there probably arent very many folders, I would expect DSL would unzip many of them into place during the install process
As far as booting,I dont know any other way to do it other than using a bootloader of some sort, and it would have to have USB support.
http://www.tldp.org
Go there and look up the boot process, theyve got a "how-to" there that describes how linux boots in great detail. Might be a good idea to do some research on embedded linux systems too, caus essentially thats where your going with this.