The .ISO file cannot simply be changed to an .EXE file - it doesn't work that way.
The .ISO extention on the file indicates that it is an image of an optical disc (either a CD or a DVD, depending on the file size) and it usually means that you should burn it to disc using the burner of your choice.
If you had Nero installed, you could just double-click on the .ISO file and Nero would activate and ask you to install a blank optical disc in your drive. It would then burn the .ISO to disc, creating a fully populated disc in the process. This disc could then either be installed from or booted from depending on the nature of the disc image.
You can also get hold of any of the Virtual Drive programs like MagicDisc:
http://www.magiciso.com/tutorials/miso-magicdisc-overview.htm
Install MagicDisc, run it, then mount the .ISO file as a virtual optical disc from which you can install it. Just treat it as another optical disc that exists inside your computer system. :)