a n00b here: what the hell do i do now?!

ok, so simple as this: i've downloaded a game ISO, and what am i supposed to do....do i need to burn the CD? WinOn CD & easyCD creator can do the job?
 
Most of the times it is indeed a .cue .bin image...but sometimes the extension of the ISO is different...
For example, Max payne was in CloneCD image with .img .ccd and .sub. Other times it is for Nero (.nrg)
 
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