For those interested in running or installing a Linux operating system such as Fedora, or a BSD operating system such as FreeBSD or PCBSD* it is nice to check the procedure since burning a pile of bad cd's is a waste of disks, your wallet, and your mood.
Windows users need a special tool such as Nero to burn a downloaded image file to disk properly (often this has the extension .iso.) Windows cannot, as far as I'm informed, burn an image to disk.
Of course there are two ways of burning an image file to disk: one is to just copy the file to the cd, which is useless, except for archiving or backups. Don't store Linux images, they age quickly and they're easily downloaded from a torrent network.
The second way is to create a bootable disk from the image file. This is the option one has to look for in any cd/dvd burning program, such as Nero. Nero's interface is painful to the eyes, and there are other programs, but in general it will do to find the option "burn as image', 'create bootable disk from image' or similar descriptions. Don't use options with the word 'data' in it, since those options will probably just archive the file to disk. Which is not a problem if you like to decorate your teenage walls with old useless CD's, though.
But before burning anything to disk one has to check if the downloaded file has not been corrupted; after all, some downloads do fail. The way to do this on Linux/Unix systems is to check the md5sum or, less common but the default for Red Hat, Fedora, CentOS, etc., the sha1sum. This is not the place to discuss the technology behind this - for one because I do not know.
it's very simple: open a terminal, and type
~]$ md5sum /home/you/path/to/latestngreatest.iso or
~]$ sha1sum /home/you/path/to/latestngreatest.iso
On Apple/OS X systems, the same applies, but the command is md5 instead of md5sum. The difference probably has its roots somewhere in Unix/BSD vs. Linux politics. :) It's possible that OS X has a graphical tool for this in the Disk Utility, but since a) I've never looked for it, and b) I haven't met many Apple users that are willing to erase their disks for Linux or another BSD, I will leave you with the terminal option.
After a while you will see a meaningless list of letters and numbers; compare this to the provided checksum to see if they're equal and you're done.
Something to recommend is the use of CD+RW or CD-RW (rewritable), because if you end up being frequently curious at Ubuntu's, Fedora's or Debian's latest release, this will save you a pile of CD's or DVD's.
Disk should always be written at a low speed such as 4x because this minimises the chance of failures, which are usually fatal for your attempt to install or run, since this is software, not a pile of mp3s on a disk we're dealing with.
To boot on a regular PC, make sure the BIOS is set to first look for something to boot from in the DVD/CD drive; I assume most people will be aware of that, but the key to enter the BIOS right after starting your system is usually Del[ete], F2 or something. Some systems are stubborn, but if you can't get a machine to boot off the disk drive, because you can't enter the BIOS (sometimes there are 'brand' BIOS'es like IBM's or Toshiba's, that are different from the off the shelve ones), try to find what kind of things you have to do or call/email some support folks of your vendor. That's what they're payed for, after all. You might need the serial number of your machine.
If consulting said vendor's website is to no avail, just try to press all kinds of function keys at once when starting the system, it won't kill the system, and you have a good chance of getting into the place where you can adjust the boot order, boot sequence, or whatever they call it.
Have lots of fun freeing your pc or laptop. And remember, distro hopping is bad for one's health. :)
*if you're ready for BSD, I don't assume you need this information. But I include it because Linux is not the only thing out there in the free/open Unix world. And then there's even Solaris, these days. :)