There are programs that let you capture the whole of a website. I've used them before, and it can be very handy. For instance, if I was going to capture my own blog, I would tell it to download everything at www.stevehargadon.com, to follow any links that stay within that domain, but not go to any other sites. What I get at the end is a folder with html files that has a start page that allows me to browse the site as though it was on the web, but it's not. And you would just write that folder to your CD.
I just did a simple Google search on "download website" and http://www.surfoffline.com/ was the first hit. There's a cost to it, but you get the idea. The second hit is the one I have used before: http://www.httrack.com/. I remember it worked quite well for me.