Depends what the download file is, if its an .ISO file that you down load, this is basicly an image of the DVD (all the files that would be on the windows dvd in one file) and you need to burn this file corectly using any ISO burning software like Alchole 120%, Demon tools etc.
Then you'd have a proper bootable DVD of windows once done. But thats providing they offer an ISO file download.
What you'll get from the MSDNAA site will be a '.ISO' file, so you'll be able to burn it to a DVD as Tizz suggests. You'll need:
1) A DVD burner
2) Software that can burn ISO files.
The important thing to remember is not to simply copy the .ISO to the DVD as if it was a data file. If you do that you'll end up with a DVD that has one ".ISO" file on it, and you won't be able to boot and install windows from it.
You need to use a program that lets you burn an "image" to the DVD using the '.ISO' file as it's source. For example, my DVD burner came with "Nero Express Essentials" - with that software I choose the "Image, Project, Copy" option and then choose "Disk Image or Saved Project". That lets me select the '.ISO' file as the source of the data to burn.
The result should be a DVD with windows folders and installation files on it.