Are you attempting to open an existing virtual machine that you have already created and installed an operating system into? If so, you will need to find the virtual machine itself (usually in your Documents folder inside Virtual Machines), because the .ISO files are just operating system installation disc images, not a virtual machines.
Are you attempting to create a new virtual machine using an .ISO disc image to install the operating system for the first time? If so, you will need to choose File > New... then pick Install from disc or image and click Continue, then choose Use another disc or disc image and pick the .ISO file.
