no.
it can't.
follow the instructions for burning on linuxiso.org. There is no good reason why you shouldn't be able to burn images you got using IE or your download accelerator however i would advise against either. in fact IE is such a security hazard i don't know why you haven't replaced it with mozilla firebird yet. get it from texturizer.net/firebird or
see my roundup of other decent browsers here.
I think the best thing if you want to try a linux using a CD without booting it is to download the suse live evaluation CD, or knoppix, or morphix, or slackware live. search google for downloads or just find them at linuxiso.org.
Of course these are a lot slower than putting it on your hard drive, plus they seem to have less hardware support (perhaps) than some of the full blown installable distros, but it's good for a tryout.