More problems with file extensions

it means ISO 9660 file format. it is the default CD File format with most burner software. Just burn a data CD the way you usually do and it should work. if you can find your way into the File Format settings of your burner software (not always available, surprisingly) you can double-check that's it's set to ISO 9660. might also see Joliet, Romeo, MS-DOS...
hope this helps.
the .vxd extension means 'virtual device driver'. sounds like the game needs to get installed to work, you'll probably have a 'setup' to execute on that game CD once you create it...(i am not a big game player so i could be wrong but you should be able to also just execute setup from a folder on your computer to install this game if you don't want to burn a cd....) how is your antivirus protection? have fun...