Ultimate Boot CD

I downloaded ubcd411.exe and then double clicked and get a
7-zip self extracting archive window. If I click extract, after a minute, the file is extracted to ubcd411.iso. However, this file is a Winrar archive (stack of 3 books icon) that has 9 folders and 3 files inside the archive. I don't think I can burn the winrar archive. How can I change the winrar archive to something that I can burn with Nero? I also downloaded an actual iso from another mirror, but it also downloaded exactly the same (as a winrar archive). I thought that an iso should not be a winrar archive.

An iso is not a winrar archive. Winrar can open an iso and extract the files, but it can't add files to it. An iso file is a file that contains an iso9660 filesystem like it will be written to a CD. So you don't need to change the iso "archive" to something else.

See the following link to see how you can burn an iso to a CD (for multiple different programs):
http://iso.snoekonline.com/iso.htm

You also could have found a way to burn it by looking at:
http://www.ultimatebootcd.com/tutorials.html