First of all, terminology: Linux From Scratch is entirely different from distributions. Distributions package all the programs you need in a nice little bundle. LFS users build their system from the ground up, getting all their software directly from the creators and compiling it all themselves.
The linux bootable cd's you're talking about probably come as .iso images. You can burn these with a burning program such as Nero. If you don't have Nero and you don't want to buy it, you can get Alcohol 120% on a 15-day trial for free.