Some programs come in .ISO files, which you need to burn to a CD or DVD and then read. There are several tools out there that trick Windows into thinking that a .ISO file (or another disk image file type, like .BIN or .CCD) is a physical disk so you can skip the step of burning it. The only one I know of that works with Vista at this time is Virtual ConeDrive. It’s free, and it works perfectly. Thanks, SlySoft.
If you have a tool you like more, add a comment.