I dont think i've seen a non-bootable version of shenmue so you shouldn't need to use a boot disc
If you do get a non-bootable version of shenmue you'll need to use the utopia boot disc. Simply mount or run the disc then swap it for shenmue. The boot disc may need a patch to work on chankast, i've provided a link on the compatability list
And as for the last question, do you mean make a non-bootable game into a bootable one? If so theres tutorials all over the place, google it
If you meant convert the CDI image to ISO I don't think you can. You can convert it to a Nero image though using CDI2Nero