Putting the files direct onto the CD should be ok, as long as you make sure to make it bootable ;-)
This may be whats missing, what CD burning software are you using? On most you choose to burn an ISO right onto the CD (cutting out any involvement from yourself) and it'll set all that fine.
Also check that the Bios is set to boot from CD over HD when available, and it's just possible that if it's an old machine it doesn't support the graphical version of Grub we're running (in which case booting from the base AROS found at
www.AROS.org and then warm-resetting would probably work ok).