To install elementary, you will need two things: the ISO file, and something to put it on (such as a CD/DVD or a memory stick). Each option has its benefits and its drawbacks.

CDs are much cheaper, and more disposable. Almost every computer has a CD drive and supports booting from it. Also, there is a lot of CD burning software to choose from.	USB sticks are a lot faster, are reusable and harder to damage, but unfortunately only recent computers (~2003 onwards) can boot from them, so if you are on an older computer, it's best to go with a CD.