Typically, games are split into several compressed files. These files are usually found in RAR format and usually suffixed with .rar/.r00#/.00# file extensions. When these files are extracted (uncompressed), they 'come together' and produce a single image file (most commonly in .ISO format) which you can burn onto a CD/DVD (Nero, Alcohol 120%, CloneCD, DVD Decrypter, or ImgBurn). DVD Decrypter (http://www.dvddecrypter.org.uk) is an excellent choice if you're looking for free burning software.
Extracting RAR files w/ WinRAR (http://www.rarlab.com)
1. Right-click on first file in the sequence (ie. game.rar, game.part01.rar, game.r00, or game.001). From the right-click context menu, select WinRAR->Extract OR Extract to game\.
NOTE: If the file has an extension of game.001 you will need to add it to WinRAR's user defined archive extensions so you can extract the files via the right-click context menu. To do this, open WinRAR->Options->Settings->Integration->Add .001 to the 'User defined archive extensions' box.
Burning PS2 DVD Images w/ DVD Decrypter (http://www.dvddecrypter.org.uk)
1. Insert quality blank DVD into drive
2. Open DVD Decrypter 3. Mode->ISO->Write
4. Browse to image file
5. Set Write Speed to 4x OR half the speed of the disc (16x -> 8x)
6. Click on Hard Drive->DVD picture to begin burning
