I am very new to Linux also, however I have successfully installed RH9. You will only need to burn the 3 i386 files to install the OS (the others I think are the sources). If you are using nero and WinXP to burn the images, just double click each ISO file using Windows Explorer; Nero should then automatically open up the image ready to burn to CD. You should probably check the Finalize option if its not already set, then just hit the burn button to create the CD. Do this for all three i386 ISO images exactly the same, and as has been mentioned previously, the first of these will automatically be a bootable image.
Just make sure your BIOS is set to boot from CD, and off you go..