I have downloaded Ubuntu 16.04.1 LTS from http://www.ubuntu.com/download/desktop.
In order to create a bootable DVD it is asking for an ISO image which I haven't found in the download folder.
Where is the .iso file?
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According to your screenshot you have actually mounted the .iso file and are browsing its contents.
As @ipse-lute correctly pointed out:
[...]Your uTorrent program is probably set to open the downloaded content (either upon completion or by double-click) with Windows Explorer, because the ISO file-type is associated to Windows Explorer by default.[...]
Go one level up in Windows Explorer and you will see the ISO file.
D:\Ubuntu and there will be a file named
ubuntu-16.04.1-desktop-amd64.iso. This is the ISO file you downloaded.
My guess is that you have
Hide extensions for known file types ON, thus you cannot see the .iso extension on the file (default behavior on windows).
In order to view file extensions: