https://cdimage.debian.org/cdimage/archive/4.0_r9/amd64/jigdo-dvd/Yes, the OP will need to use jigdo, to build the image.
There is some info here:
https://www.debian.org/releases/etch/debian-installer/Errata for release 4.0r0
Disk devices may change on reboot
On systems with multiple disk controllers, the kernel/udev may assign a different device node on reboot of the system than was used during installation due to difference in load order of drivers.
This can lead to failure to boot the system. In most cases this can be corrected by changing the bootloader configuration and /etc/fstab, possibly using the rescue mode of the installer.
Note however that this problem may occur again on subsequent boots. Fixing this issue has priority for the next release of Debian installer.
If the OP will not provide better details, there is not much anyone can do to help:
If I burn the cd debian 4 iso on an usb memory stick and boot it then I get the message unknown file system.
Well that is nice, but without knowing how you put the ISO on the usb stick, it is any bodies guess, also how you prepared the usb stick ?