Yes but it has to be burned as an iso image you cant just burn the files to disc. What ever burner you use just look in tools and you should see burn disc image or burn image. Ok go here this explains how to burn an image to disc.
By the way puppy is a great distro very easy but I would stay away from it till you get to know some of the in’s and out’s of linux puppy boots into root and you can delete or damage files on your computer it is great tho if you need to recover files off a damaged system or one that is locked down. Like games check out the Linux Gamers.
http://www.puppylinux.com/cd-puppy.htm
http://distrowatch.com/table.php?distribution=linuxgamers
My 2 cents...
Was using an AV program recommended to me by a Navy LCDR with a masters in computer tech. He said Clam Win was great so downloaded it as freeware. Never a problem and it caught stuff every so often, and I was always able to get rid of the nasties.
Reading the posts above, no one even mentioned Clam Win so I figured maybe I’d better upgrade to Kaspersky and pay for some “real” protection.
Scanned my entire system with the Kaspersky AV and it found nothing as well. No worries. But it does have better options and will use it until license expires in a year.
Spybot runs on my system as well.