Yes, you can.
You just need to download the audio lessons to your PC or Mac first by right clicking on the individual download links in each lesson.
Then select Save Target As or Save Link As.
Make sure to save the audio files in a location on your hard drive that you will remember.
Then, use Windows Media Player or any CD burning software to burn the downloaded audio files to CD.
When burning files to CDs you are generally given three options burning Data, MP3 or Audio files.
Ensure that you specify that you would like to burn Audio Files.
Enjoy!