Assuming you have obtained a highly compressed archive (e.g., Red_Dead_Redemption_HC.7z ), here is the safest way to handle it:
Originally designed for PSP, CSO is often used for fake "highly compressed" Xbox 360 ROMs. Xenia cannot read them. You will waste hours converting them back. Xbox 360 Roms Highly Compressed
Downloading any Xbox 360 ROM, highly compressed or not, is unless you own the original disc and are ripping it yourself. Most countries have copyright laws that prohibit distributing or downloading console BIOS and game files. Assuming you have obtained a highly compressed archive (e