Yes. Some downloads cannot be trusted and if you burn them properly and they don't work, don't bother.

Your best bet is that a downlaoded game should have a .BIN and a .CUE component when unpacked. With these two you can burn the .BIN component to CD-R using CDRWin and supplying the name of the .CUE file as its parameter file. Full instructions are at ####://www.psxcopyworld.co.uk

Needless to say you need your PS2 to be modified with a odchip.