OK, here's what happened. Your friend downloaded a bunch of files (very likely with BitTorrent so it is extremely likely that the download was good). He just put them on a CD for you. He did not make a bootable CD (and he clearly did not test to see that the CD will boot).

Your next step: Copy the files to directory (folder) on your hard drive. Read the downloading faq. Take it from the point where you have downloaded the files. I would strongly advise that you do the md5 test as covered in the FAQ. Then burn the ISO as an image. You will need some burning software for this, XP alone will not do it. Several soultions are covered in the faq, the Nero 30 day trial being one of them. When you burn the CD use a 700 meg blank and burn it slowly, as slow as your drive and software will let you. Make sure that your BIOS is set to boot from CD before hard drive, put the CD back in the drive, reboot, and enjoy.