First of all, is the image a CD or DVD image? You can't burn a CD ISO image to a DVD. It won't work.
Second, burning software nearly always has an option for burning an image to a disk. You don't do a normal burn, as you would with other files. Look for a "burn CD image" or "burn DVD image" option in the software.
But the big question is why are you downloading bootlegged games? Do you know that this is not only stealing, but that the game images could be infected with all kinds of crap?
Well, good luck with that.