The problem here (well, the deeper issue) is something I can't fix.
Its the "formatting fixes everything" mentality.
...pushing that aside, I'm not sure what went wrong here (not enough detail). If the installation didn't complete, you should have just been able to reset the iPod and been back where you started from - you likely still can do so.
You needn't worry, though I understand how this may be stressful for you, virtually the only way you can hurt this device is with conscious, deliberate misuse of the tools provided...or a hammer.
Simply put the device in DFU mode (the freemyipod emCORE installation instructions cover this in detail) and follow the installation instructions very carefully this time - stopping at any point you are unsure.
If you still have difficulty you can come and talk to a knowledgeable person who can assist you through the process via IRC, either at
#rockbox or
#freemyipod-support on Freenode.
EDIT: re-reading this - it seems as though you may have simply forgotten to transfer the actual Rockbox binary to the device - the part in the instructions where it says:
"Even though Rockbox starts, the installation is not complete yet. Continue reading and following the instructions to the end of the page!"
I know from experience that people see something boot on their device and think "Yay! I did it!" and stop reading the instructions immediately.

...but, I'm unsure, as the details are a little vague.
If emCORE boots at all (the emCORE menu is very obvious, you'll definitely know if it installed), and you get that message whilst booting Rockbox - simply go back through the instructions and finish them. If emCORE doesn't boot at all, no data on the device was touched, and you're completely safe to reset the device and start again (well, its completely safe either way...).
[Saint]