In order to save a Brainshark presentation to a CD or DVD, you must download the presentation.
If your site has the download ability enabled, as the author or an administrator you will be able to download the presentation by navigating to the "edit" section of the presentation. You will then see the option to download the presentation in the Things you can do menu.
If you are a viewer, you will only be able to download the presentation if the author or administrator has enabled that ability for viewers on that specific presentation.
For more information about what formats are available to download or what steps to take, please see this article.