Have a look here
http://www.delphifaq.com/faq/f777.shtml - it appears that you would need either Alcohol 120% or Daemon tools to open this file (Both are free downloads) these allow you to "fool" the PC into thinking there are more drives and if your CD drive is D , DVD drive is E for example, you can also have a Drive F . G or whatever - when Ive "mounted" images with Daemon , you can then look in Windowa explorer and extract the file you need to burn - in this case it would appear to be the ISO file ? Worth googling for MDF and theres loads of sites with advice on how to burn to CD - Good luck