You didn't need to download the bootdisks, rootdisks and other stuff - the ISO images are all you need. Anyway, in the menus for Nero (I don't have a copy of Nero right now, or Windows for that matter, so can't check for you) there's an option that says "Burn image". You need to find it and select it. You'll then be asked to choose the image file you want to burn (if you don't see it listed, make sure the file type at the bottom of the dialog box is set to display *.iso files) and then that really should be all there is to it.
Strictly speaking, you don't really need CDs 3 and 4, those are extra things and the source code for all the packages.
HTH.
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