Gerard's guide is really complete, but if you're at a loss about wtf is a ISO file and what to do if it isn't then be my guest.
There are 3 types of VN's you'll download here (mostly 3, you'll rarely come across something else):
One is the extract-and-play and yeah is just "extract here" > open the folder > doble click the exe > enjoy (some examples are Armored Warrior Iris, Sakura Spirit and My girlfriend is the president.
Another one is the standard installator, when you extract and open the folder you'll notice a single .exe file and maybe a few other archives that makes no sense, just doble click the .exe and follow instructions (same as above), it will most likely be already patched but if it doesn't the crack/patch should be either in the .rar or in the site ready to be downloaded, just read the "read.me" and do what it says (examples Song of Saya and Hypno training).
And lastly we have the .ISOs, you'll notice right away since once you extract there will only be one maybe two files, a .ISO and a .CUE, doble click it and run the .exe when Damon Tools manages to mount the image, as easy as that.
And with that my friend you'll be able to play any title here, now go with my blessing to play Song of Saya because is fucking awesome.