When you download an image, it is just a file
you have to go and mount it on a virtual drive, or burn it to a disk:
to Mount on a Virtual Drive:
1) Download Daemon Tools Lite
http://www.daemon-tools.cc/eng/downloads/dtLite
(it will be he 2nd to last)
2) Open Mount n' Drive manager
3) Right click in the bottom box and click "Add SCSI Drive"
4) then browse for you image and mount it
5) from there either the autorun will start, or you will have to go into My Computer to start it
To Burn It To A Disk:
1) Download Imgburn
http://download.imgburn.com/SetupImgBurn_2.5.1.0.exe
2)Open it and click "Write Image File to Disc
3) Now, under 'Source' click on the first folder icon, and look for you image file
4) Insert a black DVD and then under destination, choose your disc
5) Click on Write( the paper to disc icon)