You need to place iron in a blast furnace along with 6 compressed air cells. You'll get 1 refined iron after a fairly long period of time, along with some slag. Slag can be centrifuged to coal and gold.
Blast furnace is not powered by EU directly, but by hU. You can use either Electric Heat Generator (EU, with coils supplied), Solid Heat Generator (furnace fuel), Fluid Heat Generator (biogas, BC fuel, creosote oil, etc.), or Electric Heat Exchanger (lava or hot nuclear coolant) to generate hU. Make sure the copper square on the heat generator of your choice and the copper square on the blast furnace are facing each other.
Note that the tech level of refined iron is higher than what it was in classic IC2. Refined iron now is equivalent to steel, back then it was the same level as normal iron.