After downloading an ISO file to your computer, use almost any CD writing software to burn an exact copy of the original CD image.
A good free CD burner for versions of Microsoft Windows is CDBurnerXP.
ISO images are typically quite large (up to 700 MB for CDs and up to 4.7 GB for DVDs) and may require a significant amount of time to download unless you have a relatively high-speed internet connection (e.g., DSL, cable, or faster).