I have downloaded unreal2003 how do I burn this to cd to make a working copy? 3CDs .mds *3 and .mdf*3?I have clonecd and nero is there something i need to convert these files before i burn them ?

If you burn them your copy won't work without emulation.. At least not unless you patch it first: http://www.cdfreaks.com/news2.php3?ID=5037

You can mount the files with Daemon-Tools, Alcohol or Fantom CD and it will work. You can also use Alcohol or Fantom CD to burn them.