Unfortunately, you can't download the games directly on a CD. For this purpose you will need a CD burner. First, save the installation packages on your computer and after that download and install Express Burn, DVD CD Burner, BurnAware Professional or Nero. All of these software are easy to use and will allow you to add the games on a CD. Personally, I recommend you use Express Burn. Once you launch it, enter the CD in the Disk drive, click the Data menu next to Video, press the Add File(s) icon, select the installation packages and click Burn CD.
