Often, a download site will post the checksum for each file available for download. These are sometimes called md5sums, after the method used to compute them. Anyway, you need to download the sum (it's a very small file, usually less than 100 bytes), compute the sum on the .iso image you downloaded, and compare it with the sum from the download site. If they match, your download is perfect, and you can go ahead and burn. If they don't, there's no easy way to tell where the difference(s) is/are, but it really doesn't matter -- anything less than a perfect download puts you at risk.
Linux includes a program to compute the md5 sum for you (md5sum); if you've used Windoze to download the .iso, and need to compute the sum in Windoze, there are similar programs available (one such program is available at
http://www.pc-tools.net/win32/freeware/md5sums/ and there are others).
Hope this helps.