Found a useful program (freeware!) for burning ISOs. Note that you can't just use Windows XP's "copy-and-paste" to burn an ISO...you need dedicated CD-burning software (and you have to select its "ISO" option).
If you're having trouble with your burning software or you don't already have a CD-burning software solution (e.g. Nero), you can download one for free here:
http://www.cdburnerxp.se/index.php
I just used CDBurnerXP to burn a Mandrake ISO and had no problems booting up the resulting CD. Note that, as mentioned above, whenever you burn an ISO you need to specifically choose "Burn ISO" from within your software -- this applies to CDBurnerXP, too.
Hope this helps...
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UPDATE: Here's a step-by-step walkthrough of the procedure. I tried it with the Mandrake 10.0 Official i586 ISO, using a Windows XP Home computer.
-- Instructions for using CDBurnerXP Pro (version 2.2.9): --
Place a blank CD-R (or CD-RW) in your CD burner. (I used a CD-R.) Open the CDBurnerXP Pro application (from the Start menu or desktop, etc.).
CDBurnerXP will start with a window (titled "New Compilation...") with five buttons on it. Click the one on the far right, named "ISO Tools."
CDBurnerXP opens a new window titled "ISO Writer 2." Confirm your CD burner is selected under "Drive." Confirm the Write Speed (I left mine at the default of "8 x 1200 kB/s"; yours may be different but the default will likely suffice).
Choose the ISO file you wish to burn by clicking on the "..." button under "Open ISO File To Burn." It probably ends in ".iso". After you've selected that file, you should see the file name in the box (to the left of the "..." button).
Under Data Options, I left "Mode2XA" unchecked since I'm using a CD-R. (I don't know what this does.) Unchecked was the default anyway.
Under Write Options, I left Finalize Disk checked and Test Write unchecked (again, these were the defaults). (If you select Test Write, it will go through the whole procedure and tell you if the test write was successful or not, but it won't actually burn anything to the disk. I tried it once, but I don't think it's necessary or worth your trouble unless something else goes wrong and you're trying to figure out what the matter is.)
Click the "Write ISO" button. It took me about 10 minutes or so to burn the whole CD.
-- Can You Boot That New CD? --
After you've burned the first CD, try popping it into your CD drive and reboot your computer. You should see the Linux installation program open.
If not, make sure that your BIOS is setup so that you can boot from a CD-ROM. This involves entering your BIOS and changing the boot order setting to something like "Try floppy first, then try CD-ROM, then try hard disk."
More details can be found at:
http://www.pointandclicklinux.com/node/view/28