How do you burn ISOS??????

I have just downloaded dead or alive 2 LE.. i don't know what to do now... do i u have to add any more files to it to make it work??? or do i burn it straight to CD...

There are 17 files and the file types are e-doa2le.001 and then goes up e-doa2le.002...etc..... are these the right files type... and they are all 19.08mb

can anyone help me thanks

cheers
Andrew