The ISO's are just file images of CD's. Most CD burning software will burn an ISO. The ISO contains an image of the CD with the OS on it. Once you have the 3 ISO's burned onto CD, you will just install the OS from these 3 CD's.
The reason a lot of Operating Systems distribute the CD's as ISO's, is so you can download the ISO file and just burn it onto a CD, instead of ordering the CD in the mail.