If the game is free and was downloaded a file or files, they can be easily burned to CD or DVD disc. You will need the installation files. If you copy the disc already installed the game, it is likely that it will not start.
The easiest way is using the standard resources of Windows operating system. Insert a blank disc into the drive, the OS will turn on the AutoPlay window. Select "burn files to disc". Then specify the media you want to record a game: USB or CD/DVD. On the top line write the name of the disk. Click "Next".
A window will open containing the hidden file Desktop.ini. The window to which you want to copy the game. You can drag or use the clipboard commands to Copy/Paste. When the window displays the game files, click "write to CD" and wait for master disc burning completes.
You can use one of the programs or software package designed specifically for burning discs. They differ in the interface and the name of some functions, but not the principle. Take, for example, Nero (in the package includes applications for creating DVD and audio), a trial version which you can download from official website manufacturer. Install it on your computer, launch Nero Burning ROM. This will open the main program window and the window "New project", in which you need to specify the recording parameters, such as speed, file system, finalizing the multisession. After you have specified the settings, click "New".
A window will open, divided into two parts. The right side displays the list of files located on the media, left subject to entry. Specify in the right window, a directory containing the game and drag it to the left. Drag and drop can be made from the Windows Explorer. When all the game files are ready, click "Record" then "Burn". Wait for writing to end.
Some game discs contain the write-protection. To throw a game to disk, you will need to create a disk image, then mount it on virtual drive. The recording can be performed in programs, Nero, Alcohol 120%, make the drives emulator: Virtual CD, Phantom CD.