You burn the ISO image to disk. Its a little hard to give detailed instructions because they would need to be program specific, but in Nero I use the "Burn Image to Disk" option. Theres not much more to it than that.
You can probably find suitable instructions for doing this in your CD/DVD burning software by looking at the documentation or searching the Web.
If you are having problems booting you may want to check the MD5 hash of your downloaded image to make sure it matches the one at the download site, and also make sure your BIOS settings are configured to boot from the DVD drive before the hard drive.