Most software is distributed as an executable file (.exe) or as a compressed archive (.zip), but some is designed to run from CD and it makes sense for these to be distributed as .iso CD images. Typical examples are Linux distros like Ubuntu and others. They are intended to be run from CD and you start the computer with them in the drive. The .iso file format is designed for software that comes on CD or DVD (movies can be turned into a .iso file too). It means that everything on the disc, which can amount to hundreds or thousands of files, can be packaged into one .iso file and this is convenient when it is to be distributed over the internet.
At one time Windows did not have any inbuilt capabilities for dealing with .iso files and you had to install third party software tools like CDBurnerXP to do the job of burning the image to a CD-R. (Don't be fooled by the XP in the name, it works with Windows 8 as well as XP.)
Windows 8 at long last has everything features for working with .iso files. If you have downloaded a .iso file then double clicking it will open it in an Explorer window. It actually mounts it like a virtual CD drive and in the left panel of Explorer you will see a CD-Rom drive listed. You can browse the files and folders of the .iso image and copy files out to the disk drive by dragging and dropping. To unmount this drive, right click it in the left panel in Explorer and select Eject.
Right click a .iso file in Windows 8 and there is an option on the menu to burn it to disc. If you have a blank CD-R in the drive, go ahead let Windows write the contents of the .iso file to disc. (Note that this does not write the .iso file to the CD-R, instead it writes the files and folders it contains.)
This does not mean that utilities like CDBurnerXP are redundant because they have more features and functions, but there is certainly less of a need for them. For many people the simple mount or burn functions of Windows 8 are all they need.