Yep, you'll download it in the form of an ISO image and you'll need to use a program like Nero and then select the Burn Image CD option, its not the normal data disc ... i used CDBurnerXP Pro, but Nero will do just fine
By the way, if your using a 32 bit processor such as Pentium or the Athlon, you'll need to download the i386 version and also check the SHA1 sums to make sure that the file isn't corrupted, you'll find it all on the fedora core website