Finally after days of trial an error I got the origin of the problem and how to solve it. I'm working from a Vista computer, so what I say here is related to this environment. 1. You have to download images (iso files) using FireFox web browser. Internet Explorer does not download them complete. 2. After downloading the image, download md5sum and checksum the file to be sure it was downloaded correctly. To do that, you have to open a command prompt in the folder where you downloaded the files and run the following command: md5sum centos-5.2-i386-bin-DVD.iso to generate the checksum number which you must compare to the one in the md5sum.txt that is found on the same site where you downloaded the files from. 3. Burn the DVD in a low speed (8x). The above 3 steps must do the trick. I hope it helps to some others new to CentOS.