Lilo is for a partitioned installation
Lilo is not needed for a partitionless installation, as the Linux system is running from a FAT32 partition. Linux also has it's own filesystem called ext3fs (or maybe ext2fs) which you can install by splitting your drive in two (not as tricky as it sounds!).
You need to use the boot disk you were prompted to make to acces the partitionless installation. You should not need to type anything to boot into linux if the boot disk is in the drive.
Do you mean that Anaconda the RH linux installer starts up again? Remove the installer CD when you reboot.
As far as I know, this is the only way to access a partitionless installation. It's a good way to introduce yourself to linux without going through the steps of partitioning though ...