With other operating systems, such as Microsoft Windows or IBM OS/2, you are not allowed in the license to make your own CD-ROM with the OS on it and then distribute it.
Linux, being Open Source and free, can be copied. You can download a distribution or buy it from an online store and burn your own copy, and then install it on many computers,or give it to your friends. Usually, you will find instructions on how to do that on the FTP server for your favorite distribution.
You will need the main directory on the CD-ROM. The sources are not needed since they are available from the FTP site.Some distributions also come with ISO images of their CD-ROM.This is a single file that can be put onto a CD-ROM, and will create a full file system with files on it.
One thing you have to be careful is not to copy commercial programs. The basic CD-ROM where the Linux distribution is located is composed of free software. But some distributions may come with other commercial
programs, and you should read the license first.
"Windows Linux Tips: Making CD-ROM images"