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Don't know about Debian, but for Slack, you'll more than likely need CDs 1 and 2 (you can leave disks 3 and 4 because they're mainly source code for the packages).
Before burning, you'll want to check the MD5 sum for the ISO, to make sure it matches the one in the .md5 file (there should be files with the same name as the ISOs in the directory you're getting them from, except with .md5 instead of .iso at the end). If they don't match, then your ISO is corrupted and you'll need to download the file again. On Windows, you can use MD5summer to check the sums.
Presumably you know how to burn ISOs? If you're using Nero for example, make sure you find the option that says "burn image". I can't remember the exact wording. You do not just want to copy the ISO to the CD, because said CD would not be bootable.
err which one are you downloading? if you have a stable (and half decent), with common hardware like network card/router net connection then i would go for Debian netinstall, the download isn't big, because you choose and download the packages whilst your installing.
i haven't used slackware for a while but Debian has a great package manager called apt-get which makes installing something a cinch (installing software will be one of your first hurdles to overcome)
yeh i know how to burn images.I have a fairly slow internet connection and im downloadin Debian 3.0r2 (woody. Btw i have a copy of lycoris linux around the place somewhere that a friend gave to me. Is this any good?
For Debian 3.0 r2 "Woody", you will require 7 CDs.
Some good tools for checksum in Windows are HashCalc and fsum(command line). These will come handy in future, when you download some other .ISO images which may be using SHA1 or other checksum. Also they support many other checksums as well.
A word of warning: your Linux is likely to be extremely slow if you try installing it on a 486! What do you want the computer for? If you want to use it as a desktop rather than a server, I'd advise using the most powerful one you have spare. If you're running a server that doesn't a windowed frontend you can get away with lower specs.
I would take this one step at a time. Pick a distro that is known to work on older machines. I believe the first advice in re Slackware or Debian was probably good. Pick one and get it going before you start thrashing around with different options.
The advice that a 486 will be slow is a) correct, and b) not at odds with the earlier advice. You can get flavors of Linux to run on a 486, but a 486 is still going to be slow.
Try this: Google on "Linux 486" Whole bunch of hits. Also try "Slackware 486", "Debian 486", etc.
To start off a good place to learn about the number and options you have you should remember distrowatch.org . Smoothwall is a linux distro that was built for network security and not a desktop.
As for which linux distros will run on your machine there as a good amount. in fact if you check out distrowatch.org you will be able to see what linux run on the i486 processors. (I believe almost all x86 will run that since it falls in the family).
As for the best i would expect it to be a tad slow if running a gui. I would recommend fluxbox or windowmanager for a desktop (both are desktop managers and not linux distros) since they are lightweight and are normally the choice for older computers. However, if you do not plan on running a gui then any distro will do really.
Slackware packaging is a tad more advanced then debian. So i would say debian is more user friendly. However, if you really want to learn about compiling and understanding the underlying linux system i would suggest slackware.