Most CD/DVD images are one of two types:
- "Live" images
- Installable media
The first type is intended to run and provide an operating system directly without touching the hard disk - originally made popular by Knoppix (Knopper's Linux) but has began to extend to bootable USB pens and the like so some settings (like Firefox bookmarks, etc) can be preserved on the bootable media yet still avoiding the HD.
The second type simply partitions the HD, writes a boot loader to it then begins installing the OS and associated applications, taking the user through specific options (apps to install, timezone, etc). Further apps can be downloaded and installed if not provided on the media itself.
Most recently, these two disks have been merged into one, as feedmebits mentioned - Live disks have an option to "try without installing" as well as "now install me". If the latter option isn't available during your bootup, it's perfectly possible you only have a Live image and now need to find an installer image instead.
However:
http://gr8idea.info/os/tutorials/slax/install.html - seems the install is a bit convoluted.
If you find the slax install tricky at this stage, I'd advise trailing out an alternative distro, eg: Linux Mint, Ubuntu or Fedora - they're simple to install and you'll find similarities to slax.