To add to the above answer:
Your preferred distro will have a ".iso" format download. Download it and write it *as an image* with your DVD/CD burner (or, alternatively, USB). It doesn't get written by straight copying the ISO to the optical media, it gets written as an image - your burner software will have that option, but it will vary so I can't tell you exactly where it is.
If you use a USB, you'll need to write the ISO, again as an image and not a direct copy, with some sort of tool - from Balena Etcher to Rufus to UNetBootIn.