A while since I've done it (honest, guv!) but the file you download is/was an .iso file. You then need to 'mount' the .iso file on a virtual CD drive (I used PowerISO), then run it from there.
Depending on the game you may also need to enter a "key". The most pirated software will often come with or link to a key-gen which will either by pass the key entry or make up a compliant key to appear legit to the software.
It's a bit of a faff but once you've done it a few times it becomes straightforward enough.