|"The first thing in the boot BIOS setup is ATAPI CD-Rom"|
If that's the case, then you probably didn't burn the Puppy disk correctly.
"I download ImgBurn and created a CD with the iso file. But when I put the disk in the computer, it said once again, "Operating System Not Found"."
Did you check the contents of the disk to make sure it unpacked?
"I am using a CD-RW, could that be why it might not work?"
It's possible. You still haven't told us anything about your system so we have no idea of your specs or what type of optical drive you have. You'd be much better off with a 2011 version of Linux than a 12 yr old version of Windows.