You now need to burn the downloaded ISO images to a CD (make sure to have a disk that can hold 700mb). I'm assuming you are currently on a Windows box, and not sure you have Nero or not so I will link you to a open source ISO burner.
Just download the .msi file and install it.
After installation, right click on the PC-BSD ISO file you downloaded and burn it to your disk drive.
After you have successfully burned your ISO to the CD, you need to keep the CD in the drive, reboot the machine and let the machine boot from the CD, which will go through the motions on how to install PC-BSD.