It can be confusing when trying to learn or try a new operating system. One of the more confusing parts about Linux is downloading this ISO file then having no clue what to do with it. The ISO is actually what is called an image. It contains the operating system and the applications with it.
You can not just double click on an ISO and expect it to boot up the operating system. There are a couple of steps that need to be taken first.
The easily for new users is to burn the ISO to a CD. Be careful that you do not burn this as a data disk. Instead burn this as a disk image. Most burner software should have this functionality in it. Also it's best to burn this disk at a slower speed versus a fast speed because small errors can make the disk not work.
Once this is burned put the disk into your computer. Turn the machine off and boot from the CD. Most newer computers will do this automatically. Older ones may have to be setup in the BIOS to boot from the CD first. Once the computer boots from the CD, there will be an option to run the operating system. This will not erase any data as it's just running off the CD.
The other option is to virtualize the ISO file. If you know how to use virtual machines in a program like VirtualBox, then you can just make a new machine and mount the ISO file into the CD tray. This will boot up just like you had an actually CD in an actual computer.
If you like what is on the CD, you can choose to install the Linux distribution so that you can use it as your operating system. If not, download and try another one.