Did you download the images from Ubuntu?

What you should see is a screen with Ubuntu and a progress screen and
then the start of questions to install.

I did and I think I burned it as a data disk even though I
specified boot disk.

I did it several times when I was on windows. No worries then :D

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.

I did burn an Windows 2003 ISO eval and it worked but that was a
long time ago and I'm sure you are right. I'll check on your instructions link
and try it again.