Well, you actually need to download the entire dsl*.iso (not metalink). It should be something like 50MB large. I think the current version is 4.0...
If you're on Windows, use your choice burning software to "Burn Disc from Image" (somewhere under the file menus). If you don't have burning software, try
CDBurnerXP, which is freeware (not open source).
On linux, I use K3b to "Burn Disc from Image".