You can burn the 5.2.1-RELEASE-i386-miniinst.iso and be good to go if you have prior experience with FreeBSD.
If not, just burn the disk1 and that should be all you need for a basic installation to learn on.
Be sure to take a good look at the FreeBSD Handbook available at
www.freebsd.org/Handbook. It's a real good source of FreeBSD documentation that covers installation and configuration.