Okay i downloaded and burned xubuntu to a cd because it small enough for my cd. What do i do next?
Small enough for your CD? Any of them are small enough if you burn the image to CD, not just copy the ISO to a CD.
You didn't burn the ISO directly to the CD as a file did you? If you did, it won't work. You need to burn the image from the ISO to the CD. This can be done with most CD burning software.
Anyway, once you've done that, boot from the CD and copy your files to another drive or device.
However, if you format and reinstall Windows, you won't be able to just copy most of those games back over and have them work. Those and any programs will need to be reinstalled. The only useful thing you're going to be able to copy are files such as videos, documents, pictures, etc.