There is documentation included in the ISO.
I know not any help. Linux is not Windows. When you can grasp that things get easier,
So where to begin.
The file you downloaded is called an ISO file. Another name would be an image file.
In nero for example you use burn image file, point to the iso and allow it to burn it.
Now you should have a cd that you can now use to install Vector Linux.
This may give you enough information to get you started. http://vectorlinux.osuosl.org/docs/vl58/manuals/index.html
You will feel lost at the beginning. This is normal. This forum has a good
search bar that you can type your question into. Follow the results.
You can ask your questions here. Using google to search for help is also a good
idea since your questions have probably already been answered.
Hope that helps.