En:HOWTO: Burn Sabayon from Windows
Burning the .iso image
One of the most common problems with burning a Linux install CD/DVD is that people sometimes don't understand that an iso image file is not a normal file. You cannot just burn the iso to disc to and expect it to work. I repeat: you cannot simply put the iso file on a blank disk and expect it to work. In order to properly make a CD or DVD out of an iso image, you need special software. Instructions for Nero and Isorecorder are included; for other programs, see the manual for the software, or just give one of these a shot.
With Nero you just select file and burn image, then select the .iso file you want to burn. The software handles the rest.
If you're cheap, like me you can download a free image burner.
isorecorder  is a good one that I have had luck with. Simply download and install the correct version for your version of windows, then right click on the .iso and tell it to burn. Simple as that.
Good Luck and welcome to Linux.