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You don't mount them to a CD, you burn them. You mount them to virtual drives, which would be your 'new' DVD drive you see. The icon in the lower right corner will allow you to select files to mount to that drive, mount the ISO file (preferably the .cue I believe, or whatever the little describing file is, though I may be wrong on that), and then you have essentially tricked your computer into thinking this piece of data is a real cd in a cd drive. Then, with it mounted, you can burn it, hopefully. Just use whatever you use to burn, and make the virtual drive (the new one) the source, and make a direct copy to a blank disk. But realize that reading from a cdrom is slow... so don't expect the performance like an ISO gives.
I tried it, but it didn't work. I used Daemon's Tools to mount the iso image, and then I tried burning the iso to a blank CD. The burning went fine, but when I put the CD into the CD drive and selected "RUN CDROM" in ePSXe to start the game, it didn't work. The screen just stayed blank, and nothing happened at all. What did I do wrong?