If you download the CD's, they will be in the form of .iso files. You do NOT want to burn the iso file directly, that would be like trying to install from a .zip file - it isn't useable, it is slightly compressed. What you should do is download the .iso file, then use NERO, and select "burn image" under the file button. Point nero at the .iso file, and it will "translate" it into a working form. Whatever burning program you use should have a "burm image" choice, and that is what you want. AN .iso file isn't actually compressed, I think it is a like a map of the directories and files, but in any case if you just copy an .iso onto a disk it will be useless, it has to be converted.
If the machine can boot from CDRom, you have no need for a boot disk to install. If it is old and can't boot from CDRom, then you will need a boot disk to access the installers on the CD.
Here is a link to a location to buy the Fedora Core disk I mentioned before.
You can get many distrobutions from them, if you want a different one, feel free to try them instead.
I would suggest completely formatting your machine when installing the new OS. If you just installed 7.2 and didn't do anything, then there is nothing worth saving. If you did work on the machine and want that saved, then you should do something with the data, burn it off, copy it to the network, or anything along those lines. You have no need to backup things if you just built is recently.
Besides all of that, every question you asked is asked in this forum frequently. The search feature is your friend. Look up what you are trying to do, and this site and google probably has the answer. We don't mind answering the same questions over and over again, but you'll get much faster results by searching before you post.