... on your System / Guest BIOS, quickly on startup, by pressing either F2 OR F12 OR F10 OR an equivalent key and then change the Boot Order to boot from the CDROM first.
Some Hints: Puppy Linux Live CDs show some dialogs / settings window on first startup / first shutdown. Feel free to dismiss / close them, if you do not want to make any changes, to the live cd's operation, next time, on the same system. This will not affect the zerofree's work in any way.