|Couple of options.|
0. Click the details button in the download manager and check the launch when done box. Once the file finishes it should launch your burning software with the iso already loaded.
If the file is already completed then re-launch the download manager and check the launch when done box and it will re-verify the file integrity and then launch the burning software.
Once it has been launched by the download manager it should permanently convert the file to an ISO.
1. You could also simply change the extension from .dlm to .iso and then burn.