The ISO file is a CD image. You need to use a REAL CD/DVD burning software, not some Windows built-in "send to E:" function, to burn it to the CD as an image, not as a file. Once you do that, you need to shut down the computer, restart it, set the CD as the first boot device in the BIOS, and then follow the instructions from there.
Linux is not some program that runs inside Windows, it's a completely separate operating system. You must first shut down Windows before you can boot up Linux (or you can install it in a Virtual Machine, but that's different).