I'm going to refer you to the DSL wiki page, that describes what to do. The link is here
But, let me make a few comments.
1. Did you burn the cd as an image, not a data file?
2. Did you burn the image at 8X or slower?
3. Is the bios set for the cdrom drive to be the first boot option?
4. Are you using a cdrw disk or cd-r disk of good quality?
5. Are you using the same cdrw drive to boot the cd, or an older cdrom drive?
6. Are you using dial-up to download the image and did you check the md5sum of the iso file after you downloaded it to make sure that the image was valid?
DSL is a very small distro. The file structure seems fine, from what you described, so it looks like you burned the image correctly. Don't expect that you should see more files on the cd than you do. DSL is built on a small platform.
Take a look at my how-to about burning iso images here