ISO files are also know as CD image files. Effectively just list of the locations of the data on a CD.
To use them you either need to add som software that will let you read (Mount) the ISO file as if it is a drive, Alcohol is about the best known but there are lots of others (
http://www.alcohol-software.com/software_52.php) or (More usually) burn the entire file to a CD then use the CD as normal to insatll the games.
When you burn the CD use the options tha tlet you burn a CD Image, just creating a Data of the iso file is not the same thing. One way to do this :
http://www.bay-wolf.com/burnimage6.htm
Hope that helps.
Memetic.