I guess that the two LEDs don't come on for the usual 5 min or so.
Check the following:
* CF card is fat formatted
* Check filenames = zImage & initrd.bin (make sure Windows, if you're using it, doesn't hide any extra extensions, etc.)
* Check the md5sums of the files - google for a binary if you're using Windows, and check them against the list in the txt file in the download dir - this will ensure that the files aren't corrupted
If all the above are okay, then the next step is to remove the partition on the Cf card, re-create one and reformat as FAT16
If that doesn't work, then there do seem to be some CF cards which just don't seem to work, so you may need to find/borrow another one.
Si