Is there a way to instead of burning something onto a disk onto your hard drive?

I'm downloading a game using utorrent and I opened it and it says I'm supposed to burn it on a disk but I just want to play it but it wont allow me and I dont have anything to burn it on. Can I burn it on my hard drive somehow or what I should do.
Update: P.S. I'ts a zip file. on a pc.
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