Yeah, like that. Download the game, burn the image to a CD-R (CD-RW doesn't work) using either discjuggler v4.60 or alcohol 120% and play. Some games that aren't selfbootable needs the utopia boot disc, but these are rare nowadays, and are easily spottable (non selfboot games comes in ISO and BIN/CUE formats, but some of them come in CDI format which are even rare).