Installing windows without the actual disk, but a .exe file

Hello all,
I am new to this forum and new to macs in general. I just got my Macbook over the weekend, and am still trying to learn all the differences from windows.
Anyway, I have obtained a free copy of windows XP software through the MSDN academic alliance, and the only way to get the software is to download a .exe file. However, when bootcamp runs, it asks for the installation disk to be inserted, so I am a little confused as to whether or not my executable file can be used.
I tried burning the file to a disk, and trying to use that disk as the windows installation disk, but that didn't work. My brother told me to make a proper disk, I need to use an app like Toast or something similar. Should I obtain this software and try burning another disk? Or is there another option I am not aware of?
Thanks for any help you can give.

Disk Utility will burn an .ISO just fine.
http://en.wikipedia.org/wiki/ISO-9660
http://www.ezbsystems.com/ultraiso/
Yes, Toast etc or Nero are excellent but you may not need to, have to confess have never been faced with an .exe and of course you would need to run it on Windows of course. I download Vista 64-bit build but came in ISO format.

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