I've never tried to download a DVD image (not enough bandwidth and no DVD burner), but I've seen several posts regarding a 2GB file size download limitation in some applications. You may want to do some research on that first because it sounds like you're a short on the download. I think the Suse10 DVD is about 3.6GB...
To burn the .iso in Windows, just right click on the file, select "Open with", then "Choose Program...", then select your CD burning application (Nero, Roxio, whatever) from the list. The application should recognize that the file is an .iso image and behave accordingly. You can even check the box that says "Always use this program..." so that in future, you can just double-click the file.