Not sure what procedure you followed when installing Slackware 9.1 so forgive me any duplications and redundancies.
In the installation script when it comes time to load lilo this is what I do and it has always worked. Just follow the steps sequentially:
1. Choose 'expert' mode;
2. Select 'begin' option
3. enter the parameters you nant passed to the kernel - e.g. hdc=ide-scsi
4. select your frame-buffer (mine is: 1024 x 768 x 256)
5. select MBR as the location for lilo
6. select /dev/hda as the partition
7. I usually enter 'none' for this option
8. Back at the main screen, select 'Linux'
9. select /dev/hda1 as the partition for the lilo to be added
10. Give it a name. "Slackware" works just fine
11. Finally, it'll run through a couple of options such as selecting the mouse and the gpm ... and the defaults are usually fine to select.
This takes care of loading LILO on the MBR, and it should concern Win2K3
As for the Gnome and KDE packages - IIRC those are on the second CD