When you download programs (particularly from Microsoft) quite often they will be as .iso files. The .iso file is an image of a CD or DVD in a single file. Once you burn the image to a CD or DVD you will discover that the .iso file had lots of files and folders in it and creates a CD or DVD that is just like one that would have come in the box if you had bought the program in a store.
You cannot just copy an .iso file to a CD or DVD to use it. You must use a special program to burn (record, not literal burn with fire, but a laser is burning spots on the CD/DVD) the image (expands the .iso file into the real files and folders) to the CD/DVD.
Programs like Roxio and Nero include in them a section to allow you to burn images (.iso files) to CD or DVD. They also have the ability for you to create a .iso file from a CD or DVD. There are also free programs out there to do the image burning. (Generally they are free for personal use but charge for business use so look at the license). IsoRecorder is one that has been around for years that I use It is available at http://isorecorder.alexfeinman.com/isorecorder.htm I have also used Easy Free Burner, but a couple of times it had problems burning the CD
If you are using Windows 7 you can work with the .iso file like it is a CD. Windows7 will treat it as a virtual CD drive. There are also some programs available on the Internet that will allow you to use a .iso file in Windows XP or Vista as if it were actually a CD/DVD which is seen as a virtual CD/DVD drive. Two programs I am aware of are http://www.disc-tools.com/download/daemon does DVD/CD in Windows 7/vista/xp and has a lite version free for home use and http://download.microsoft.com/download/7/b/6/7b6abd84-7841-4978-96f5-bd58df02efa2/winxpvirtualcdcontrolpanel_21.exe which runs a .iso as a CD in Windows XP.