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Introduction to Linux - A Hands on Guide
This guide was created as an overview of the Linux Operating System, geared toward new users as an exploration tour and getting started guide, with exercises at the end of each chapter.
For more advanced trainees it can be a desktop reference, and a collection of the base knowledge needed to proceed with system and network administration. This book contains many real life examples derived from the author's experience as a Linux system and network administrator, trainer and consultant. They hope these examples will help you to get a better understanding of the Linux system and that you feel encouraged to try out things on your own.
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All you need to do is download the ISO images (typically 600-700 MB) and then burn them to CD using whatever software you have, selecting the "burn image" option. You do not want to burn them to the CDs as regular files, as you won't be able to boot from the CDs. Nero has an option to burn images and I expect most (if not all) burning software has a similar option (although, I don't think the software that's part of Windows has such a facility, I could be wrong though). If you're burning under Linux, then you'll be able to burn images with cdrecord.
I've downloaded Red Hat (prior to Fedora's existence), Fedora, Mandrake/Mandriva, and OpenSuse. Each of those distros I downloaded were iso files. After downloading your distro, use a program like k3b to burn the image to disc. In my case, I click on Tools->Burn CD image and leave the defaults except for write speed. I've had issues when trying to burn at greater than 8x, so I drop the write speed down to 8x. When you view the contents of the CD/DVD, you will notice the contents has been converted from iso file to its proper files and directories.