The correct way to burn the ISO image depends on your burner software. You want to create a cd from an image file, the help should show you how.
If all else fails, use this program (windows only!): http://demosten.com/cdrfe/ (download at bottom of page)
If multiple icons DO show up, check your bios settings. You probably need to change the boot order so it'll try the cd before the hard disk.
If you have a fairly old computer (some pentium II's, all earlier computers) it may not be capable of booting from cd, even if the BIOS appears to support it.
If you burn the cd on one computer and try to use it on a different one, you may have trouble - extremely old or cheap cd-rom drives sometimes do not work (or work well) with anything but the silver, commercially manufactured disks. Others will work with CD-R but not CD-RW. Still others will only read some colors of CD-R media. Any drive that says Multiread on the front will work with any type of disk.