As the old saying goes---"We have two speeds: If you don't like this one, you will surely not like the other."
I'm having trouble seeing what your configuration is. Please confirm:
LILO is in the MBR
You are using the LILO config file in (Zenwalk) /etc
You can boot into Zenwalk
You can boot into Windows?
hda vs sda: The old Linux way was to refer to IDE/PATA drives as hdX and SCSI and SATA as sdX. The modern way is for everything to be sdX. (This has nothing to do with LILO.)
Finally, are you using the exact kernel name for Slackware in you LILO config file, and did you run LILO after changing the file?