Welcome to LQ.
I take it when you say 'the file just sits on my desktop' you mean an ISO file? If so, then there is a subtle difference in what you need to do with them - you do not burn them to CDs in the same way as other files.
Taken from http://www.linuxiso.org/viewdoc.php/isofaq.html
What is a Linux iso?
A Linux iso is a file containing a cdrom disk image of a Linux distribution. This cdrom disk image is an exact copy of a Linux distribution on a cdrom. Think of it as the equivalent of a screen capture, but instead of capturing the information on a screen, this image captures all of the information on a particular Linux distribution's cdrom. When burned as a disk image, the .iso file is turned into a duplicate cd of the original cd. If burned as a file, instead of a disk image, the cd becomes a copy of the downloaded .iso file, and not a bootable cd with accessible files and directories.
There are a few 'guides' there too: