heroes of might and magic 3

Download the disk image from here; it's usually in .iso or .mds format. Then, mount it using a program like Alcohol 120%, and you should be able to install and play the game normally!
It seems like you're doing something wrong. What do you mean by "downloaded the game"? Did you download the disk image, or an already installed game in an archive? And why are you burning it to a disk? Maybe you burned it incorrectly... but you don't even need to burn it to a CD!