It's honestly really involved to cover in a single post. There are loads of tutorials on the net (here and
www.xbox-scene.com), and it's been covered bit by bit on this forum (do a search). Searching for Bruce Lee will get you one example, actually.
Summary is that you need to install Evox on your HD, ftp the files from the Xbox to the PC (No, a PC DVD-ROM or DVD-R drive won't work), then burn them either in UDF mode, or make an ISO - your choice.