The only option you really have is to do a "screen capture" of your site, which will save the image, which you can transfer unto a CD-  while your site is online, hit the "CTRL" button, then the "PRTSC" button (the Print Screen button) on your computer keyboard.  You have to hold down CTRL, and then (while still holding down the CTRL button) hit PRTSC.  It will "copy" the site into an image- you can then Paste this (right mouse-click and then click on "Paste") into a Word document or Publisher (much better to use Publisher)- you can then crop the image and save it to a file, or your CD.. It seems like a lot to go through, but it is really the only option you have.  There isn't a way to save the site (operational as it is online) unto a CD in Website Maker- you would have to create it as a Flash Movie in Flash CS+ and save it unto a CD, but that is an expensive program with a huge learning curve..

Good luck.. Hope this helps!