Nope. No no no. You don't need to make the burn session yourself. Just leave the file with an ISO extension, then in Nero, cancel the wizard. File-->Open-->Files of type :Image files (*.nrd, *.iso, *.cue). In the dialogue box, ensure "Finalize CD" is checked. Personally I would burn at 2x or 4x, for maximum compatibility. It is worthwhile with OS installation CDs.
GX1_Man mentioned MD5. In the download are for the ISO files, you'll also see a file called "md5sums" or something like that. This file contains checksums calculated against the image files. You can use this to check for corruption during download (essential on such a large download). You compute an MD5 checksum against the image file, and then match it against the one in the md5sums file. If there is any difference, you have a corrupted download and will need to get the whole thing again.
You can use
MD5Summer to calculate the checksum. Note that I have never used that program (I always use a Linux tool to check MD5 sums) and cannot make any guarantees about it. It LOOKS like it will do the job.