I just burned the Windows Vista Beta 2 ISO to DVD and had similar issues. This was the first time I ever tried to burn a DVD.
First off I also tried using the
isorecorder but discovered that although it works great burning to CD's it will not work burning to DVD's. I got the same error you did: "E: No Media"
I then opened up Nero Express (which was bundled with my DVD drive) and this program was able to burn the ISO.
As to the download: if it did not download as an ISO then I don't think that you change it.
Try re-downloading. I am not certain what happened but your computer should not have changed the file type if you were indeed downloading an ISO image.
Perhaps turn off any download managers. Also check your files types via:
start > Control Panel > Folder Options > File Types
Make sure that ISO is associated with ISO File.
More tips in downloading and burning ISO's can be found here:
http://www.linuxiso.org/