In Windows, have a look at what's on that CD. Do you see a file that ends with .iso? Or do you see several files and stuff? Sounds like you may have burned the .iso file to the CD rather than burning the iso image. If that is the case, check back and we'll steer you through the process of burning the image.
If this isn't the case, you may have a corrupt CD, either through the burning process or it was corrupted during download. Did you do a md5sum check to see that the file was all there before burning it?