Unfortunately we can't provide step-by-step how to back up the downloaded EndNote installer on to a CD as that function isn't anything specific to EndNote; it is general computer information and varies depending if you have a PC or a Mac and which CD-writing software you have installed, etc. There are many different CD-writing packages available and we don't know how each works which means unfortunately we can't give specific advice.
What we can say, however, is that the installer file downloaded is a standard file; it can be saved to a CD, an external hard-drive, a networked drive (etc., etc.) the same as any other file on a computer.
We've found the following tutorial on-line for Windows XP, though it will be less relevant for Windows Vista and Windows 7
We've found the following on Apple's support pages which deal with Mac OS X:
To back-up individual libraries of references, simply save these to a CD, USB stick, hard-drive or networked drive, etc. Note that each library comprises two parts: a file ending in .enl and a folder of the same name ending in .data, and they will both be in the same location. For example:
It doesn't matter where these items are saved or what they are named, so long as they're kept together (but do not put the file inside the folder) with the same name.
We hope this information is useful.