Can I just download the file to a CD with no other program associated with that extension?

If it is an ISO file, download it to a rememerable location on your hard drive and make a bootable CD when you write it to CD with ISO writing software , like Nero and some god freeones.

What OS is this supposed to be?

It is OS independent, obviously Nero is Windows, but all OSs should have ISO writing software. If you complete your CD Creation successfully, you will see all the files and subdirectories required.

Windows is the easyist way to create ISO disks, here is a link for one of the free creaters: Open ISO files with 7-Zip - Uberdownloads.com

By the way, if the disk only has one file burned onto it after you think you have correctly burned the .iso, you've done something wrong. There should be several files on the disk when the .iso has been properly burned.