Use software like UNetbootin to create your bootable USB stick (included in Debian/Ubuntu repositories).
Information on troubleshooting booting from CD/DVD can be found here. Information on burning to CD/DVD can be found here. Burn it to DVD using your favorite software. Just burn a DVD, or create a bootable USB stick and try it out. The Ubuntu Studio ISO is a live image, which means you can boot it and use all the default applications without actually installing it.
If you wish to use other desktop environments, Ubuntu Studio can be installed on Ubuntu or any official Ubuntu flavor using the Ubuntu Studio Installer.
