So I downloaded Ubuntu 12.04 desktop to make a dvd but all I got was zipped files. I looked at the make dvd instructions but it tells me to burn the image file not a whole bunch of files. Please help.
I think, you have downloaded one of the Wubi pre-installed images which has tar.xz extension and you are referring to them as zip files. Those are Ubuntu image files for use with Wubi installation.
If you are looking for Ubuntu DVD images, Go to this page and choose your architecture (32bit or 64bit) and download the iso file. (If you aren't sure about which to select , download the 32bit).
If you are using Windows 7, You can burn the iso file by right clicking the downloaded file and select Burn the image to CD/DVD entry from the menu. Of course you have to insert a Blank DVD in your DVD writer before doing it.