Stupid question : Did you burn the ISO on your CD ? Or the IMG file ?
Installing to an HD is not tricky at all :
http://forum.m0n0.ch/index.php/topic,1252.0.html.
pFsense is good, i gave it a test run, but it takes ages to startup and i could not get the "official" embededd image to work...... I used the
hacom images.
Anyway everyone should use what best fits his needs !