phony collective progress
Join Date: Sep 2006
Location: San Hoosey
If it's PAL software, it may not work, even if you burn the disc correctly.
You downloaded a RAR file, which is an archive (like ZIP). You'll need to de-archive it first with something like WinRAR, and I would imagine you'd end up with an ISO, which you'd then burn to a disc with your CD/DVD burning software.
If you can't get it to work, just find a copy of Super Mario All-Stars for the SNES (either real or emulated), since it appears to be the same thing.