It's really easy, you don't need third party crap.
The only think I don't know how to do is take a temporary stop at the CDROM menu and still have a choice to continue on to Windows using a menu choice. I can however make any menu for anything I want in DOS using built in stuff.
Step 1, make a Windows 98 or Windows ME bootable disk.
Step 2, Add some fancy stuff to autoexec.bat and config.sys
Step 3, make sure that the files IO.sys and MSDOS.sys are of type System, Hidden, and Readonly. Functionally this makes no difference, but most CDBurning software is too retarded to know better, so they need to be that way.
Step 4, Start Nero, or Roxio and head towards the bootable disc option, when prompted, supply your custom startup floppy for it to read.
Step 5, burn the CD.
I will post you a demo in ZIP of a boot image I have on floppy, I don't feel like recreating it from scratch now, but I have it at work so I will probably post it tomorrow.