If you have Windows 7, you can use the built-in Windows Disc Image Burner feature by right-clicking on the ISO file as shown below:
If you do not have Windows 7 then you must use an application such as Nero or PowerDVD or any other burning application.
You can extract files from an ISO file using an application such as 7Zip.
My favourite free application is SlySoft Virtual CloneDrive. Install this and then mount the ISO file as a drive volume by right-clicking on the ISO file:
Once mounted AutoPlay will activate as it has seen a new CD/DVD inserted!
If you have any other favourite apps for ISOs, please let me know and I will add them here.
Warning: Applications which mount ISO files under Windows can have problems. ISOs made with the RockRidge standard are not correctly interpreted by Windows. In particular, lower-case letters are converted to upper-case. So if you see that all the filenames are in upper-case then you are advised to not copy those files to another device as the filename case will be incorrect and thus the OS may not boot or work correctly - instead use 7Zip to extartc the files from the ISO.