If the service doesn't allow you to save the generated files to PC, then you will have to use a screen capture tool to save the files to your PC and then transfer them to the CD with the help of a CD burning tool.
You can find such applications through the following link: http://software.informer.com/search/screen+capture
Just install one which suits your needs and then you can capture the images directly to JPG or PNG. Once you have all the necessary files, use an application like Ashampoo Burning Studio to burn the files to CD.
