Hari if you are new to computers you perhaps need to understand about downloading and installing programs. There's a security aspect about this as well.
I assume you are using the internet browser called Internet Explorer, version 6 or 7, (IE6 or IE7). There are other browsers, and many will say, myself included, that using any other browser than IE is preferable because IE is the browser of choice for virus and spyware writers who want to infect your computer and steal your personal information. All browsers have security vulnerabilities, but because IE is so widely used, it is the one whose vulnerabilities are most often exploited. That being said, even with another browser, you will need protection like a firewall, an anti-virus program and one or two anti-spyware utilities,
All browsers allow you to download files, such as program files. But there are two options to downloading files. They are;
1] Download and open, or
2] Download and save.
Download and open does just that. It downloads the file and opens it immediately. This is dangerous because if it hides a virus the virus may get installed as well.
Download and save is the better option. If you download a program file and save it to a convenient location, (your Desktop is a good temporary location), that allows you to scan the file for viruses and spyware before opening it. An anti-virus program running in the background should pick up any viruses as the file downloads, but I prefer to double check.
Download and save is also a good idea because you can then store the downloaded installation file somewhere on your hard disk as a backup. I save all of my downloaded program installation files to a folder on my hard disk called "Downloads". Not very original, but it suits me. If ever the program you install fails, or gets corrupted, you can uninstall it and use the downloaded file again to retry installing it.
All browsers allow you to choose whether to Download and open, or to Download and save. The options will be held in the Tools > Options section.
In addition, it is using the Download and save option that allows you to transfer this installation file to another computer. How you do that depends on your setup.
You ask whether this downloaded file wouldn't install on the other computer. Not automatically, no. It has to transferred to the other computer and then "Opened" on that computer. That will then start the installation process.
Which method you use to copy the files across to the other computer depends what you have got to do it. Windows XP has an inbuilt utility for copying files to a CD, but I prefer to use other software. Your NTI CD AND DVD MAKER seems to be a new product and their support forums here seem to be sparsely used at the moment. If you have any documentation with the software, I would use that to step you through the process of burning these files to a CD.
I use Roxio's EASY CD Creator, and their step by step method is here. Most CD burning procedures will be similar.
I hope that helps.