I think I know what you're talking about. Let's see if this right:
you downloaded the .iso file and used your windows box to burn that single file to the DVD, right?
If so, continue reading.
The .iso is a "disk image" file. It represents the entire DVD, so you need to use a burning program that can deal with this kind of data. Poke around in your software and see if there is a "burn image to disc" option. You will then have to select the .iso on your hard drive and tell the burner to do its thing.
Alternately, you may have done this correctly, but you need to remember to change the BIOS to boot from your new disc.