An ISO file is simply a disk image. There is no conversion because the image can be any type of file(s). You should probably use some type of disk burning program. For example, Roxio's Disk Copier feature has "Source" and "Destination" options. Your Destination will be your CD-R, and for your Source look for the ISO Disk Image. Click "Copy Now" and you should have a working disk to play.
By the way, if you don't have a disk burning program you can download a free one here: http://www.imgburn.com/