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I have downloaded Ubuntu light to install on my desktop computer as the OS but when I want to open the fil I get the following message:

"This file does not have a program associated with it for performing this action. Please install or if one is already installed, create an association in the default programs control panel."

Di I directly burn this file to disk like a ISO?

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Yeah you need to burn it to CD or USB and boot to that media to install.

There are a number of guides on the download page under the header "Easy ways to switch to Ubuntu 14.04 LTS" (second big thing on the page).

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