ISO files are essentially CD files. The easiest way to use this will probably be like your friend said, burn it to a dvd. I believe windows 7 can do this for you, by right clicking on the file and selecting burn iso or something along those lines. If you don't have windows 7 you can download FreeIsoBurner to do it for you:http://www.freeisoburner.com/
Alternately if you don't have a DVD burner or DVD's, you can use what is called a virtual dvd drive, which can mount the iso image and your computer will appear as if the ISO image was a physical DVD in your machine. I actually just used this method to install visual studio 2010 a few weeks ago on my box, and didn't have any problems.http://www.magiciso.com/tutorials/miso-magicdisc-overview.htm
If you run into any problems setting this up, feel free to post back here.