If you download any programs these days you are most likely going to be getting a .iso or .img file. My first step in the past was to burn on to dvd/cd and then go from there. I sued to use IMGBurn Until i discovered virtual Clone. This just works. Windows xp-7 it is just awesome so give it a whirl its free. I would note i am not getting gpaid for this post..LOL.
After you install one of the above programs go ahead and double click on the file and it will install it as if it were a cd/dvd on your computer.