I assume you downloaded it from here
The thing you downloaded is an installer. If you haven't already installed it navigate to the folder you downloaded it to and double click to start.
Follow the pretty standard windows install, selecting whatever options you like (start menu entry/desktop icon/whatever you want).
Start the program from your start menu item/desktop icon and a small popup box appears.
Click the [...] button next to the top field and navigate to the folder you downloaded the Mint .iso into.
Select the LinuxMint-5.iso file and the box turns completely white (looks like it's crashed - it hasn't). Wait for it to finish and the MD5 checksum for the file you are checking appears in the second field.
Check that against the checksum given on the download page. If they are the same burn the .iso to a CD/DVD depending on which version you downloaded, if they are different redownload the .iso.