i had the same issue. you need something like Nero or CDBurnerXP 3. then you need to select Burn Image. Then find the ubuntu image you download. then burn to disk. boot. and there you go. any other questions, let me know.
I recently downloaded Ubuntu and burnt it to a bootable disk and it brings me to a MS DOS promt thing. So I'm wondering how to get it to run now? I'm a complete Linux noob so any help is apreciated.