All right, so you've just downloaded all 697MB of the spanking new Feisty Fawn ISO, and...what you do?
If you're already using an earlier version of Ubuntu (or just about any Linux distro, for that matter), you already know what to do. You slap in a blank CD into your drive, open the folder containing your download, right click on the ISO file, and choose "Burn to CD..."
If you're one of the few unfortunates still using Windows XP, you'll have a few more steps to take.
See, the problem is that Windows XP doesn't support ISO burning out of the box like a proper operating system should. Oh, no, you still have to install third-party utilities to get this functionality.
My recommendation: get Alex Feinman's ISOrecorder. Not that I've used it myself, you understand, as I don't have Windows on any machine; but a friend did once, just prior to dual-booting his machine. And it did the trick for him.