The multicore iso contains install.gz, and using it is the easiest method.
If you use the tinycore iso, you need to download install.gz separately. If using this method, after downloading install.gz, copy it to the tce directory, which you may find in /mnt/sda1/tce (or in a partition other than sda1). Restart the computer for it to be loaded.
If you don't put it in the tce directory, install.gz can be loaded from any directory by opening the Control Panel, then clicking Load Starter Pack.