It depends on what OS you are having right now.
1. If you have none, you can't install
2. If you have windows older than windows xp like 98,2000,me etc, mount the iso using daemon tools etc which have been suggested before, and install
3. If you have a later version of windows, like vista,7 etc, you can install, but the procedure is complicated, google for the procedure
4. If you have a non windows OS like Linux, you'll have to burn the iso and install.
Note: you can't install if you extract the contents of iso to a folder as suggested.