The file you should have downloaded from Microsoft is a disk image file, extension .iso. It's effectively the actual DVD, laid out exactly as it needs to be to work correctly.
If you have WinRAR installed, it's capable of opening the file that you downloaded, and by default when you install WinRAR it sets itself up as the handler for those files, so that's why you probably have the icon. :) You shouldn't "unpack" it first, you should use software for burning a .iso file. As long as it's a .iso file, you can use any software which can burn those files to a DVD. Nero can, or Alcohol 120%, for two.
I'm not on the WHS team, I just post a lot. :)