I use CD emulators, so it mounts like a CD or DVD without ever having to burn it. I just did the whole .NET 2005 suite on my work machine again today, and all is smooth.
Now these .ISO's from MS can be opened with WinRAR too, just think of them as a zip file, and extract everything to a temp directory and install from there...
BTW, I use FantomCD for my CD/DVD emulator, but there are several out there, many free or included with other apps. (Think one comes with Nero, but have not used it.)
Vaughn