The live cd is usually just that for use there. The suggestion for first running a live cd version was to see which one or more you would want to see installed. Generally 2, 3, or more iso images depending on the size of the distro are first downloaded to a folder and burned onto disk where it forms a set of installation disks.
Linux does install a little bit differently where the information is usually available at the download site for installing if not included in one of the iso images. Once burned to disk the iso image is then seen as a set of files and folders where a text file provides details.