This is a way to work around that but you lose the initial startup page with help menus:
Use the live cd Puppy linux slacko-5.7-PAE.iso to boot into puppy linux and then from the menu select Setup and then Grub4dos bootloader config, select your usb hard drive with puppy linux installed and follow the instructions to set up your grub bootloader.
Boot from your usb hard drive and select the OS you desire it finds the puppy_slacko_5.7.0.sfs.
I still need to find a way to force it to save to my 40gb usb hard drive.
I have also installed to a 4gb usb flash drive that works much better, it loads fast and saves my modifications for the next session!