They are isos, it's just the way they are compressed...they are even bigger when extracted. Just "start" one and it'll extract (I knew the downloads from romU were safe, so I had a go )
I'm pretty sure they are self extracting archives. (It's been a while since I've downloaded one). When they were compressed, the program added a little bit of info to allow you to decompress the file without having to install any programs. Just run the EXE and it will ask you where you want to extract the file. Tell it where and it will extract the file.
actually if its what I think it is it will just extract where it is. I believe they are UHARC compressed the exe is because virtually no-one will have heard of uharc.