You should have downloaded 3 ISO or CD image files and the md5sum should check OK. Burn these to cd as images.
I hope your burning software has help files you can read.
Otherwise, you will have to name your burning software and wait until someone that uses that software.
Carefully reading the instructions on the home page/faq/etc should help as well. Check the links I posted for Mandrake.
How To Check MD5sums On A Linux Iso Image
# Cheap CDs for the CD burning impaired
Discount Linux CDs