Gnutella Forums - Help!!! How to put game on cd/dvd?

Hey, OK I'm really new at this and I have some questions. I find a game, for example Advent Rising and download it, now here's where my questions come in. I want to put the game on a CD and put it into a game console, for example Xbox. Do I need some sort of conversion software and if I do what would you recommend that I get? Also do I need a special CD like a DVD CD or something? Basically I need help on the whole proccess like what to do and where and when to do it LOL I know I might be asking a lot but I've looked through all the forums and haven't found anything to help me out. PLZ REPLY! Thank you.