Do a check on the file, Alt+Enter or right click and properties. If it has a size to it, then it's prob good unless it is not the size which it was stated to be, like an iso for an OS would be around 4gig say, and you do properties and its 458bytes... that didn't completely download. If it says what program would you want to use to open, usually means that you need a program installed to open it as it has nothing associated to that file type. You would need one of the image burners that SIND mentioned below or like Nero or Roxio, or Creative etc... If you have that , then the file should look like an actual icon and not just a white page.
Anyways it look slike you solved it, but if it happens again or whatever, do a screen shot and paste here so we can see. Alt+printscreen and paste into word or pbrush.