It is an iso file. You must burn the iso file to the CD using a program like Nero.
To make it easy. Download "burncdcc" from my signature. It is a quick and dirty program for burning iso files.
DO NOT COPY TO THE CD.
So, download Dban. Save to the desktop so you know where it is.
Download and install burncdcc.
Open burncdcc and follow the instructions.
When you have the iso file on the cd, the cd becomes bootable. Put it in the cd drive and turn on the computer.
If you have the computer set to boot from cd, it will boot from the cd and start running dban.