I am guessing that you are simply running the application from the download.
As for creating Dos boot disks, if you have a floppy drive still, simply format and choose the
Copy system files option, then open up the disk and copy the password change application.
I would also highly recommend bootdisk.com, they have a load of Dos and Windows bootdisks in a variety of formats that are ready to use.
If you go back to the Download Page you can download
Bootable CD-ROM ISO Image (Password Reset Disk) which should just require burning and nothing else. To do this, use a tool such as CDBurnerXP (also available on Ninite for easy installation.)
May I also recommend Offline NT Password and Registry Editor, I have had a lot of success with it and it also comes in an easy to use ISO that you can burn straight to a disk.