You only need to burn 3 cd's. Make sure you don't the ISO files to a data cd, as they are already complete CD images. Just use the Write Image or Burn Image option in your CD Burning software. The 4th file you have contains md5 checksums for the ISO files, that can be used to make sure they have downloaded correctly or burned correctly.
It's not needed other than for the integrity checks, and you can delete it safely.