AstralLein
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Um... It can be even simpler...
Just open the Iso file using any archiver and run the executable, then proceed as with a regular installation of any game or program. This works with all Iso files; no Alcohol or Daemon Tools are needed.
No, it's easier with the programs mentioned above; the method with the archiver is more complicated. That's why programs for working with disk images were created.
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In any case, these methods are equally valid.