If you have downloaded the iso image, just burn it on to a CD. See this page: *www.slax.org/documentation_burn_slax.php
Or if you have downloaded the Slax for USB, just unzip the contents onto your flash drive and run bootinst.bat from the directory named boot to make the OS boot from your flash drive.
If you need Slax installed on your hard disk, then you need to have a FAT partition AFAIK. See this page: *www.slax.org/documentation_install_slax.php
I wouldn't recommend you installing Slax on your hard disk. Slax is meant to be a live boot Linux distro. Just use it to get your feet wet in the Linux environment. If you need to install Linux on your hard drive, better go for Ubuntu.