I had this same problem once. I couldn't get Lilo to install to the Master Boot Record. If you successfully boot into Vector Linux using the install CD (as M0E-lnx suggested) but still can't install Lilo to the Master Boot Record, try installing Lilo on a floppy disk (I'm assuming your computer has a floppy drive - many newer computer's don't). If you successfully install Lilo to a floppy disk, you will need to go into the BIOS and change the default first boot device to "floppy disk." Accessing the BIOS will vary from computer to computer, but usually you need to press a specific key. It is often the DELETE key or the F2 key. If it's not one of those, and you have access to the manual for your computer, the information you need may be in the manual.
Booting from a floppy will slow your boot time (a little), but it's faster than booting every time from the install disk (which you can still do if installing Lilo to the floppy doesn't work). If you have older hardware, I think you'll find Vector Linux to your liking.