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.
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.