You cannot copy the file directly to a CD/DVD and expect to use it. Instead, it must be expanded (somewhat like a ZIP file) and it must be written to the disk using other software. With Windows XP, you had to either purchase or find freeware software to do, with my favorite being the free "FreeISOBurner.com".
Starting with Windows Vista and newer, you can burn the file directly from the operating system without a third-party product.
In other words, Microsoft finally provided a utility that should have been part of the operating system. As you will see below, the program has shameful rough edges and lacks other expected features -- but the process works well enough to accomplish the basic goal.
Provided you are on Windows Vista or newer, the disk can be written directly from the ISO; no additional software is required. The process is easy and without frills.
1. Download and store the ISO to a known location on any drive.
2. Insert a blank CD or DVD. When Windows prompts to write files to the disk, dismiss the dialog.
3. With Windows Explorer,
Locate the .ISO file.
"Other-mouse-click" (right mouse) the ISO file.
Choose"Burn disk Image".
Using "Verify" is unnecessary for most burns.
The disk will automatically start burning.
When done, Windows will announce the disk is ready.
From Explorer, the disk will contain various files and directories -- exactly as the original CD looked when the image was first built by the vendor. Total burn time varies, depending on the size and complexity of the original disk.
Issues and Missing Features
Oddly, there will not be a progress bar while burning, but at the very end, the bar will show 100%, which is less than helpful.
The CD/DVD drive may be noisy with whirring and other mechanical sounds for the first minute but it should be smoother and quieter as the burn progresses. Be sure the blank cd/dvd is free of fingerprints and is centered in the tray when inserted; both can cause noise as the disk tries to recover. If the drive continues to be noisy, I would eject the disk and try another.
On Windows 7 I have noticed the desktop locks up for the first few minutes of the burn. You may not be able to open or use other programs. Be patient.
You cannot choose the burn-speed. Many, including the author, prefer to burn at slower 1x or 2x speeds - for more reliable burns, but you do not have a choice. With this said, I've not had problems burning disks so this may be old news.
Windows task manager will show a task, "ISOBurn.exe", which is a command-line utility.
Mounting the ISO image as a Drive Letter
Windows XP through 7 cannot mount an ISO as a virtual disk, with its own drive letter, without using third-party software. I recommend looking at "SlySoft.com's free Virtual CloneDrive". The vendor has an extensive list of of other interesting CD/DVD programs.
For inexplicable reasons, every other operating system allows you mount the ISO file as a drive, without having to actually write a physical disk, but Microsoft left this feature out. All other operating systems can mount ISO files and with this you can retrieve individual files without having to waste a plastic-disk.
Starting with Windows 8, it automatically can open an ISO as a drive letter (at least when downloaded and opened with IE), or you can use a less-than-elegant PowerShell command-line can mount the drive but you can't pick which drive letter is assigned and you can't browse to the ISO file. In other words, this is not something I would show my Mom:
a) Launch Powershell as Administrator.
b) Mount-DiskImage -ImagePath "C:\data\downloads\myfile.iso"
Remarkably, you cannot choose the drive letter. It starts at the bottom of the alphabet and moves up. For most, check drive Z:.
To unmount, use
Dismount-DiskImage -ImagePath "C:\data\downloads\myfile.iso"
Making a CD/DVD Image Bootable
Many ISO files are bootable. This must be imbedded in the original ISO file, from the vendor. You cannot make the ISO file bootable after-the-fact.
If the disk is expected to boot, but does not, the issue is likely with your local machine's BIOS. Make sure the bootorder is set to boot the DVD before the hard disk and you need to press a key (usually F2 or F10) at the BIOS-screen when booting. Contact your computer/motherboard manufacturer for details on how to set the BIOS properly.
Building your own ISO file
Once again, you will have to use a purchased, third-party product, such as Roxio, Nero or others. Likely, the Roxio software that came with your computer will not burn the file without upgrading to the vendor's full-priced product. I have had no recent experience with these products, but would probably recommend the relatively expensive Roxio, by Corel Software.
There are other shareware products on the net, but I have not had experience. Reader comments are welcome.