I just went through this myself a couple of weeks ago. I'm looking for help on a couple of things myself. I didn't think that I'd be able to help someone else this early in the game.
When you launch the Jigdo program, I believe it asked you for the path to the file you'd like to download. This is where the .jigdo files you downloaded come into play. It took me a little while to figure this out, and then it hit me...
Enter the path to the 1st .jigdo file on your local hard drive. When I downloaded the files, I stored them on my D drive in a Debian2 folder. When it asked me for the path, for like the 15th time, I entered the following:
Just change the path so that it leads to file on your hard drive. You'll see a bunch of stuff happening in your Command Prompt window...it's just showing you what's it's downloading and from where. When it's done, it will automatically create an ISO image for you and place it in the same directory where you launched Jigdo Lite.
You'll probably need to do it for each .jigdo file you downloaded. You may be given the option of entering the path to all of your downloaded .jigdo files in the beginning, but I did it one at a time.
Then, in order to burn them, just load your CD burning software, select one of the ISO images, and burn away! Also, rather than wasting a bunch of blank CD-Rs, you should be able to complete the full installation with just the 1st CD.
Hope this helps.