Download it from a website, the file name will end in iso then if your in windows you can use a program such as IMgBurn to write the image to DVD.
Download page: http://www.puppylinux.com/download/
Image Burn for Windows: http://www.imgburn.com/
Download page: http://www.imgburn.com/index.php?act=download
You will want to select write image file to disc.
Select the source, where the file you downloaded is
and the destination the dvd rom drive.
If your computer is configured to boot off the DVD you will see the linux screen after you successfully burn the image and restart the computer. You might want to have another computer with internet in case you have questions.
You might want to read tutorials on how to use it first.
You could also get it to run off a usb drive or a virtual machine, such as Virtual Box, so you don't use up a blank dvd. It gets updated every couple of months.