As far as I know, you can't. The files on a CD-ROM "are" read-only. However, you can select all of the files that you downloaded, after they are on your hard drive, and change the permissions all at once.
I tend to do this for photographs taken with my analog camera, but which are scanned onto a CD-ROM.
However, there may be ways to download them with read permissions, but I haven't found them yet.
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