Did you use a specific Burn Image or Burn ISO Image in Nero? If not that is possibly the source of your problem. Just burning the ISO file to a DVD as a data file is no good.
A successful burn will show something like the following folders in the root of the DVD:
And the following files:
In any event, you will need to boot from the DVD to install it. It is no good trying to install it from within WinXP.
Alternatively, was the download successful? Trying to download these large ISO files in something like WinXP without a download manager is notoriously hit and miss (doing from within Windows 7 is much more reliable as it manages downloads much more effectively than WinXP).