If you downloaded an iso file, you can run it without burn it on a CD or DVD.
The simplest way to do it is with winrar. Right click on the file and select "Unrar to..". Winrar will extract the files into a folder.
However, if you want to just open the file, without extracting it, then you need a program to do this, like Virtual CloneDrive or MagicISO.
Virtual CloneDrive is simple to use. Just right click on the iso file and select "Mount" or "Unmount", if you want to "Eject" the disk.