How to actually run a game?

[mocha_lattes]

I just finished installing PCSX2 by watching someone's YouTube tutorial. When it came to actually playing the game they had a file saved on their computer to show it was working. Can I play straight from the game disc? Or do I have to have an ISO saved? If so how do I get the ISO? I saw another thread where a person suggested imgburn but when I installed that it did not work. It just created a file on my computer after setup that I couldn't do anything with and did not install a program. Any help would be greatly appreciated.

Also unrelated but can you play games that are not on the Compatibility List? Thanks for any help.

[jesalvein]

what kind of tutorial did you watch ?
what problem did you get with imgburn ?