Burn the .iso NOT AS A FILE, but as an image. Use your burning studios "burn disk image" function. If you dont have this, google for DeepBurner. Theres a freeware version available. It supports ths.
In the BIOS change it to boot from the CD, whack the cd in and enjoy
that ubuntu version lets you play around without installing anything, and when you want to install it gives you the option to shrink your xp partition and let windows and linux coexist. BACKUP FIRST.