you can go here
http://www.slax.org/get_slax.php
download the iso file. then use your burning software to burn it to a disk.
i'm guessing here that you are a bit more of a novice at this stuff than most of us here, so forgive me if i come across to remedial.
now then once you have downloaded the iso file, you want to burn it to a disk. however, you can't just burn the file itself to a disk. you need to tell your burning software specifically to burn an iso file. all the contents of the cd are packaged up into the iso file, so you can't do much with it like that. when you have your burning software burn an iso file to disk, it extracts out all the files and puts them on the disk.
once you have done that, you just reboot your pc with the cd in the cd drive and it will start right up into linux. i belive that slax puts your hard drives right on the desk top.
now you can just open the drive folders and copy to your heart's content.
it's really an easy thing to do.
good luck to ya.