Are you trying to burn an ISO file? If you just need to burn an ISO open disk utility and hit burn and select the ISO.
If its a non-mac game you would need boot camp or vbox to load virtualized windows on your Mac then play it that way.
You need to be more specific about what you downloaded. Is this an open source game? Is it for the mac platform?
dioioib
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Which game is it? It's possibly that the game isn't compatible with Mac OS X. I suspect this is the case as, being something of a gamer myself, I've noticed that most games come as .app files in a .dmg, and not an .iso, which seems to be what you're describing.
Patiodude
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