I've had a few computers that have issues with booting a DVD too. If you have a floppy on the system you might try making a Smart Boot Manager floppy disk and seeing if that will help you boot the DVD (you can also install SBM to the hard disk MBR, but I would advise using a floppy at least until you decide if it is what you want).

For some strange reason, some people report better results if they hit the play button on the DVD drive as the system starts to boot, somehow a spinning disk seems more inclined to boot than one not spinning. Quite frankly this makes no sense, but I trust the reports.

Yea, there is a shut-down feature in the menu, although as long as you are not mounting partitions for writing I don't think anything could go wrong if you just pulled the plug. But learning to shut down Linux properly is good policy.