CD's are not just a "big floppy" and they are quirky about letting your download to them directly. Because they require the data being burned to come to them at a fast and constant speed you can't do a direct-to-CD download. You usually have to download to your hard drive then COPY to the CD to get that to happen.

No room left on your hard drive?  A good solution is to add a small external hard drive to your pc that plugs into your USB port. You can get a 40-gb external drive very cheap. This is a good idea for two reasons... it can give you more storage space and you are not downloading directly from a web site to your main hard drive where your operating system resides.

I just checked www.pricewatch.com and found a 40-gb external hard drive made by Western Digital for $69.  If you like to use ebay, you may find an even lower price.

There are several different programs for writing to a CD that PC makers might choose to include.  There are Roxio, Nero and other programs, but most programs require you to first open the program, then drag the files you want to copy into a window for burning, then click a "start" button to begin the burning process.