ISOs are image files. either open the image and burn in something like nero, or mount the image virtually with daemon tools.
Well I can't tell you how to play illegaly downloaded games specifically, and you shouldn't really be asking on here this question. But I can tell you that you will need to burn any iso file to cd or dvd depending on the size of the file. If you do not posess a dvd or cd burner then do as djscoop says and install a program called daemon tools. This will alow you to create a virtual dvd drive which you can then 'mount' an iso file. Then by going to my computer, you will see the iso file as if it was a disc inserted into a drive which you can browse/install as usual.
i have downloaded a game and its doesnt have an iso file its got 6 different files and each one i click on goes to open with can u please help me.
wrong place really to be asking this as it deals with piracy. But sounds like the file is in .rar format so you will need to download winrar and that will extract the iso for u.
@mrgeorge: For crying out loud. Go to the site where you illegaly downloaded the games, and ask them what to do.