Question about burning

Hi,
anyone can tell me how i can burn a dreamcast game. I've downloaded a game which end with *.cdi, (Yes I have discjuggler), but when i tried to burn it, I don't know how, because there a 5 zip files and every file contains the same. One file is over 700mb, must a buy an 800mb cd? which is the best program to burn dl dcgames ?
Thanks a lot.
Bye.

Jazzman