Once you have downloaded it, You can download this free software http://www.gofree.com/vlcmediaplayer.php?gclid=CPeEvdHjk6QCFRL4iAodkhsbHQ so you can play ISO files on you computer.
Always make sure that the file you downloaded is the same size listed on the download page, that will help ensure a good download!
You will have several options to download, an ISO file just needs to be burned like an image to a disk but will play on a DVD player. A MPG file will play on your computer, and some DVD players. Otherwise you will need to take the MPG file and import it in to a DVD software which will convert it and then help you burn it to a DVD.
Most movies will take some time to download, depending on your browsers and or computer, you might be able to see the progress of the download as seen below
Once it is done downloading, you will see it in the spot you save it to, I only download the ISO file in this shot, you can see it on the desk top, by the yellow star. If you downloaded the ISO file, now you just burn it to a DVD. Remember unless you have the software to watch a ISO file you can not watch it on your computer (see link at top of page for that software)