new and not getting it

I have downloaded the evaluation version of this software - to see if
it will do what I want it to do - which is create VCD. I have
figured out how to add music, edit my slides and all that good stuff,
however, when I use autocreate on the VCD/DVD screens, it only
creates 2 files for me. When I look at the FAQ on the xatshow site,
it shows all these folders that are supposed to be burned onto the
cd -- all I am seeing is the .exe that i assume is the screensaver
and a .iso file. I have HP CD Creator, and have looked to see what
format it reads and it is .iso, so i am really confused. I must be
missing a step, but can't seem to figure out where. My DVD player
supports CDR and CDRW - but I am guessing it won't play because all
that is burned onto my CDR is the .exe and the .iso file. I really
hope someone can shed some light on this for me - as I am loving this
program and almost ready to purchase at least the standard edition -
possibly the professional - if I can only figure out how to correctly
burn a vcd!
Thanks in advance!