Okay - it's obvious that I have worded a lot of things wrong in there. (and your misunderstanding isn't your fault)
Okay - to boot to the DSL install off of the pendrive, you need to allow Windows bootloader(off of the comp's harddrive) to do so. (or install GRUB as your bootloader on the Computer's harddrive)
To allow NTLDR (the Windows Bootloader) to boot the Linux partition on your pendrive, you need to follow the steps outlined in the link I posted above.
However helpful all of this is - I believe that DSL has a website about this....
here.
Also - did you use the "install to pendrive" option under "install"? I haven't used DSL in quite some time (like since .9.1) and im not sure whether I have that option correctly named, but it should be close. I think that the BIOS choice coincides with the option you pick (apparently you can pick the USBZIP or USBHDD from inside DSL?)when installing.
Hopefully this makes more sense, if not then check
This one out.