1) FC2 is getting old now - the latest Fedora release is Fedora core 5. I suggest downloading this instead, unless you have a specific need for FC2.
2) You have to download the four iso files, and burn each to a CD. What CD burning program are you using? On K3B, you click Tools - Burn CD image. When you have burnt each one, you should see a set of directories on each CD, no a single file. Nero in Windows is similar.
Don't forget to check the SHA1SUM of each ISO before you burn it, do make sure it has downloaded correctly.
I hope this helps