Make sure:

1. When you download, make sure that it didn't do any sort of conversion on your data. A good way to make sure is to use the "Download Link Target" selection from a context menu over the link. This is typically a problem with Netscape, seems to me.

2. Make sure you are burning an "image" and not copying a file over. In Nero, there is a main menu option to burn a disk image; use that.

Those should help you out.