Boot Disc help

Hi I'm new to all this and I need some help with this. I Downloaded the file called utopia cd omages and put it all on a CD-R and tried running it and I just got the screen most people are getting (file,setting,memory card screen) what am I doing wrong? And one more thing can anyone explain to me exactly how to make a game? I heard something about ISO's but I have no clue what do I do? Please can someone help me thanx..