You need some tricks to make it work.

You have to create an empty partition of 700 Mb (using repartitioning tools such as gqparted or the no-gpl Partition Magic).

Boot your linux, then format the new partition (/dev/hda6 in my case) using mkfs.ext2 program:
mkfs.ext2 /dev/hda6

Here is how my drive looks:

Mount it where you want, for example in /mnt/. Once you have it, let's copy the contents of the Auditor's iso image to that partition.

First of all get an iso image from Auditor's website. Once you have it you need to mount it in your current linux filesystem, for example in /cdrom/ usign (as root) the following line:

mount -o loop /tmp/auditor-200605-02-no-ipw2100.iso /cdrom

NOTE: for mounting .iso files you have to had some features compiled in your kernel. These include:

#kernel options for .iso file mounting
Block Devices->Loopback device support
Filesystems->CD-ROM/DVD Filesystems-> ISO 9660 CDROM file system support

To copy the contents of the .iso file to the newly created partition use:

cp -a /cdrom/* /mnt/

To make it clear: now you have a partition in your hard drive that contains just the same files and folders of the Auditor's cd-rom. Let's boot from this partition. As boot manager I use grub so here is my customization of the menu.lst file:

# For booting the Auditor distro from /dev/hda6
title  GNU/Linux - auditor
kernel (hd0,5)/isolinux/vmlinuz root=/dev/hda6 ramdisk_size=100000 init=/etc/init lang=es splash psmouse.proto=imps dma nodhcp noapm noagp screen=1024x768 vga=791 nowheelmouse nomce  quiet BOOT_IMAGE=/KNOPPIX/KNOPPIX fromhd=/dev/hda6
initrd=(hd0,5)/isolinux/miniroot.gz