You sure can... What Distro are you using? You should really fill out your info... <edit>Wow.... I'm really blind.... Nevermind...</edit> There are 2 or 3 distros where Lilo comes with mkrescue I believe... Slackware is one of them... Try:
If it doesn't recognize that, there should be no reson why you can go to Slacks package tree on the web site and download Lilo from there.... I use slack binaries on other distros all the time.
I would try extracting that package first into a folder. Then cut /sbin/mkrescue out and put it in your own /sbin.... See if that works first before you go and install everything. If you decide to install the whole package, just incase your not familiar with slak-paks:
tar -xzf /path/to/lilo.tgz
This way, your kernel image can be a couple hundred Mb if you really want it that large and it's wicked fast to boot up...
So, since you have Slackware:
Then burn the image with some cd burning software, or do this:
cdrecord -v dev=0,0,0 rescue.iso
(dev=0,0,0 is the output you got from 'cdrecord -scanbus' where your cd-r is....)