well you cannot install it, as far as I know (of course everything is possible, so I'm sure you could manage something).
Myself I downloaded the ISO generator because I like to fool around, but of course you can just download the GeeXbox ISO (6.3mb, pretty small).
For the ISO Generator, read the instructions on the site. Don't be afraid, it's quite simple... http://geexbox.org/en/index.html
Don't bother with the sources...
For a small distro that can be installed "easily", well DSL is what you are looking for.