CSO stands for "Compressed ISO." It is a format used by the game console Portable Sony Playstation, or the PSP. This format is simply a compressed CD image. In order to use this format on your computer, you'll have to decompress the format into "regular" ISO, so that it can be used by a program that can run the ISO format.
Visit a website that has a PSP Compressor available for download.
Download the program and open it.
Click on the button with the three dots on it ("...") next to the box labelled "Input File(s)." Find your CSO file and double-click on it.
Click on the circle on the left next to the text that reads "Uncompress CSO-ISO."
Then click "Compress" at the bottom of the program to begin the conversion.