Due the problems I had trying to burn Devil Linux™ in a CD and since finally I done it, I think it's a good idea to write a very little HOWTO-BURN WITH WINDOWS just to explain the method.
First of all, obtain the ISO image.
I think the most important is obtain the latest release, so please visit http://www.devil-linux.org and check it, but anyway, the first archive works perfect.
Second: extract the arvhives! For a Windows envoirement I only found one application that can do it, TAR_32. Winzip and others can't get right the .bz2 format. You can obtain TAR_32 here: http://openlab.ring.gr.jp/tsuneo/soft/tar32_2/
It's as easy as unzip it and run the command line ( into DOS window) minitar -x 'devil-linux-???.tar.bz2'. You will see then two files: bootcd.iso, etc.tar.bz2 and the directory docs/.
Third: burn the ISO file into a CD. As described in http://www.e-smith.org/docs/howto/CD_burning_howto.php3,
I used CDRWIN. Obtain it in Tucows, or in their website: http://www.goldenhawk.com.
As described on the e-smith web page, do the following:
Open the icon labeled "File Backup and Tools". In the listbox named "Backup/Tool Operation", select "Record an ISO 9660 Image File". In the box "ISO 9660 Image File", click on the button labeled (Browse) and select the ISO image file. At the bottom of the dialog box, select "CD-ROM" and "Mode 1". Then click the button labelled "START".
Few minutes later the CD will be done!
Thanks to people of ecol* news and E-smith. And specially thanks to Heiko Zuerker.