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You need to burn the disk to a cd (BUT: use 'burn as iso' or similar option of your burning program, not normal burning), then reboot, change settings in BIOS to allow booting from cd, insert the cd and it should start the installer. Yes, the installer. If you don't want to install and only test, try a distribution like Knoppix. It just starts from the cdrom, doesn't douch your hard disk, so you can see if you like it before you install.
Linux is an operating system. It is not a program that runs under Windows, unless you have an emulator like VMWare which simulates an entire computer. You need to install Linux to your hard drive to use it (actually some versions will run off of a CD, like the Knoppix which Mara suggested, or a floppy). You need to burn the iso image to a CD to install it onto your hard drive, or download a live CD like Knoppix, burn it, and boot off the CD.
FC2-i386-disc1-iso is file image of the 1st install CD. The typical method to create a CD from the file and install the operating system on your PC is what Mara was trying to explain.
telnet is an application to communicate with a remote computer.
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