I am installing Debian Lenny, but when I boot it, it stops at this point:
Please wait kernel loading...
It doesn't continue past this point. What should I do?
That is actually a good thing!
If you can see that message it means that the boot-loader, GRUB, has already finished loading and is loading the next stage of the boot process, the kernel. Hanging during kernel boot is actually not that unusual.
Either way, you should also provide your hardware model and specs to see if there are any other common problems. What is important is the CPU, chipset, graphics and RAM.
Please update your question. At what point does this message display? When booting the Debian DVD, or when trying to boot after an apparently successful installation? What hardware do you use? Can you boot off an Ubuntu DVD as a live environment and run Linux, or does that freeze too?
I've found a lot of systems where the Debian installer doesn't work without certain kernel parameters, or ever, but other distros (e.g. CentOS, Ubuntu) do work fine.