What distro do you want. Look at the list above and comments for names. You might want to research before deciding. If you go to ditrowatch select one of the top ten(If you don't like any of those you might want to ask) click on it and there should be a download link. Download it then you need software like imgburn. Click burn image select your CD make sure it has enough space then sit back and feel like a god.
To load from disk you need to get to the boot menu and select boot from CD