You need to burn the ISO images to disk first, If you use Nero you can use that.
Once you've done that, if you explore the first disk you should find instructions on how to install Linux. Normally you just put the first disk in the CD drive switch the computer off then back on this usually starts the installation.
I would check the instructions first because it will give important instructions on disk allocation, this is important because you'll end up wiping your existing operating system off.
I use a dual boot system, 98SE and Xandros Linux, the installation was very easy with the supplied instructions.
Good luck, I'm sure you'll enjoy Linux, beware though, Windows its not! So expect a lot of learning.