I think you'll find you can choose to save them as both, and I'd recommend that... but if you encounter probelms download a free converter such as 'any video converter' and then just burn your CD or DVD.
Have you suddenly become nocturnal, Andy? Up until recently, we've hardly ever posted at the same time because you've been on AB early in the day and I've usually been around much later!
If you only want to use the CD as a way of backing up (or replacing) the storage on your PC, you need to create a 'data CD'. The 'audio CD' option is only used when creating a CD which can be used in a CD player.