There are various choices here. I strongly recommend that you go for the ready-to-go bootable ISO -- you only need to download ONE file, "puppy-xxxx.iso" (where xxxx is version number plus optional extra information). Note that Puppy now has an easy "remaster-cd" program, that enables you to customise Puppy and burn another CD. There are also scripts for installing to other media.
Download live-Puppy: ready-to-go bootable ISO

A complete operating system with suite of GUI apps, only about 60M and boots directly off the CDROM.
http://www.goosee.com/puppy/download/downpage.htm
downpage.htm