A couple of important steps:

One: Check the md5 sum of the file you downloaded. Trust me on this. There are plenty of tools on the web that will compute an md5 sum for you. If you don't already have one, use Google.

Two: What does burning it as a data disk mean to you? If you can see a lot of files and an entire directory structure when you look at the CD under Windows then you likely did it right. If you see one big ISO file on the CD then you did it wrong. We usually tell the new guy where to find the "Burn Image" option under Nero, but as you said that your software doesn't have an option for burning bootable CD's then I'm guessing that you're not using Nero. What burning software are you using, someone can likely tell you what option you need to use in it to burn iso files with it.

Three: You completely forgot about what I said in step one, didn't you? Trust me, you don't want to skip that step.