If you have a fast internet connection, you would need to download the ISO CD images. Just go to the RedHat website, and click the download button. Get discs 1, 2, and 3, and make sure they aren't the SRPM version. (Those are the source versions, and not the regular install discs.) Burn those to CDs with your favorite program, making sure to choose the Burn Image option. If you just copy the file to a disc, it won't work. The ISO image is like a ZIP file in that it is a bunch of files all together in one. You need the burning program to "reconstitute" the one file into the many files on the CD.
RedHat just change course... They will be focusing on the Enterprise edition of their distro, and will only be "sponsoring" the freely downloadable Fedora Project version. Fedora Core 1 was just released, and is basic'ly RedHat 9.1. You can download those three ISO discs instead of RH9, and install that.