Both lilo and grub perform exactly the same function, and it's a matter of personal preference as to which is "better". It's sort of like asking which text editor is "better", vim, pico, or emacs? It's a matter of personal preference. (Personally, I happen to prefer lilo, but if I switched to grub there would be no functional diffference.) I'd suggest looking at sample grub and lilo files, as that will show you what you'd be dealing with in terms of maintaining them.
In order to burn the CD so that it is bootable, you need to select the "Burn as Image" option. You do not want to just copy the ISO to the CD, because that won't work. You need to burn it as an image. Which burner app are you using? -- J.W.