You'll first need to download all the photos to your computer - they will be downloaded as a zip file. If you have more than a couple hundred, I have found that downloading batches of 200-300 at a time works better than trying to do one huge download.
Unzip the files, then burn the photos to a CD; arrange in folders if you want to organize them a bit before burning.
If you are trying to download and burn directly, I don't think that is possible - it's going to be a multi-step process.
