It may be that your friend just burned a CD with the .iso file on it as a file. The .iso file is a whole CD *image*, essentially a snapshot of every sector on the CD. Your friend needs to burn a CD using the .iso file as the blueprint, not actually burn the .iso file itself onto the CD. Normally, you open the .iso file directly within the burning software (e.g. inside Nero, you would use the File/Open menu to open the .iso file, then burn the resulting project as a CD).
As TS suggested, the floppy version might be easier, and works just as well.
Download Orthos and use it instead of PRIME95 -- it takes care of making sure one copy of PRIME95 is running on each core.