I've just tried to do just that now, but with an incorrect function error code. I think you can only save direct to a CD if you have formatted it using Nero or another CD writer/Reader software package. Nero's one is called In CD.
One way of getting the file onto CD is to save it to your desktop and then right click the file and choose Send to ... and choose CD Drive. (If you have more than one CD writer or a CD writer and and a DVD writer make sure you have put a CD in the writer before choosing which drive.) Select the drive you want to send the file to and it will be placed into a tempory CD folder ready to be burned to CD when you're ready.
hope this helps or jogs your memory!