its a single file called a ISO its effectively the contents of a CD in one file.. you burn this as a 'image' file to a CD...
Then you make the pc boot from the CD and Linux will run and enter the desktop
Here you have a look and play and see if it suits your needs

If you like what you see click the install icon on the desktop



at the following URL is the full information about burning the disk

https://help.ubuntu.com/community/BurningIsoHowto

you can do this in most CD writing apps such as Nero etc