You have probably allowed Winzip to take ownership of various filetypes, and allowed the MS default of not displaying known file types.
The download
is an ISO, and should not be processed by winzip or anything else.
Set your folder options like
this so that you can actually see what's on your PC, and burn the downloaded file, exactly as it came, untouched by any other program, using a burning program capable of handling ISOs
W7 can do it natively, Vista cannot. We recommend Imgburn because it's free and it works.
http://neosmart.net/wiki/display/G/Burning+ISO+Images+with+ImgBurn