It's perfectly possible.
Use Disk Utility to create a blank rightable disk image of the correct size (800mb for a cd, I think).
Mount the image, and copy all the files on to in, if you want a background remember to place that on the image too.
Set the window's background image as usual, place all the icons in the positions you want, hide the sidebar or not etc.
Eject the image, and use whatever app (Toast, Disk Utility) to burn it to the CD/DVD.