Did you download an .iso (CD image). What files did you download?
If you downloaded an .iso you must burn the CD image to a CD and boot with that, an application like Nero have a feature for burning a .iso file. Or if you have a USB flash drive you can use UNetbootin to write it on the flash drive and make it bootable, you can find more information here: http://unetbootin.sourceforge.net/
Don't delete those files you downloaded. You can always use them as a local repo for installing software etc. I haven't done it before, but one of the other members here might know more.
You can burn it to DVDs and use it for installing the software, I won't be as updated as the ones on the server, but its nice if you want to install software and test it out.
With those files, you can use jigdo to build the ISO. You'll still have to get *some* files from outside, but you can point jigdo to your local repository and it will grab the files from there. You may have to set up access to it via an ftp or http server though.
You can use a USB flash drive to boot it, use the programme UNetbootin ( http://unetbootin.sourceforge.net/ ) to put the iso on the flash. Wow, then you are in for a treat, a lot have changed since Feisty Fawn.