Hello,
You can download these files as Greg ("SermonIndex") explained. Then, you will need a computer with a CD-RW (CD rewritable) drive. You simply record it to a blank CD like you would any music.
You will need a blank CD-R disks as well (the "R" stands for Recordable). You can usually buy them in quantities of 25, 30, 50 or 100 (or more). Personally, I prefer CD-R Sony brand -- because I find less "duds" out of them.
In addition, you can purchase more expensive "CD-RW" disks. This allows you to record music or sermons and then use them again later to record something else. I don't like the CD-RW format, because they lose quality over time and blank CD-R disks are much cheaper anyway.
Typically, the mp3 format is the most compatible with CD recording software.
There are plenty of software options available. I typically use Sonic, Roxio and Nero. However, there are other free options as well. Here is a link from CNET for free CD burner software:
http://tinyurl.com/freecdsoftware
*Just remember: You will need something more than just a regular CD drive. It must be a CD burner drive. To determine if you have a CD-RW, you will see the word "REWRITABLE" in small font just below the words "Compact DISC."
Let us know if you have any difficulty!