Have you ever burned an ISO before? It sounds like you burned it as a data disk
instead of an ISO. An ISO is a compressed file format for a whole disk. In this
case it is a bootable CD. To burn it you must open it in the burning programme.
There are instructions for that on the Ubuntu site:
https://help.ubuntu.com/community/BurningIsoHowto

When you have burned the file properly you won't see a file on the disk called
*.ISO, but instead you will see all of the files contained in the ISO.