You will need a tool that is able to open .iso files to use the download, such as any of these free tools:
7-Zip (probably the easiest of the tools listed here)
ImgBurn, which does all sorts of things, such as both building and burning image files.
ISODisk (from ISODisk.com)
See also InfraRecorder (burns and creates .iso files)
Virtual Clone Drive from Slysoft.com (mounts .iso files as an optical drive)
Microsoft Virtual PC, Virtual Server, or Hyper-V Manager
(30-day Shareware) WinImage