The available CD-ROMs include the main distribution (currently version 3.0 woody CD-ROM), the network install5.3 (netinst) CD-ROM (version 3.0), and other CPU specific CD-ROMs (e.g., the Sparc 3.0 woody CD-ROM). The CD-ROM images can be obtained from, for example, http://mirror.aarnet.edu.au/pub/debian-cd/current/ and similar archives (this Australian mirror is only available to Australian hosts). For CD-ROM only installations you may need to obtain multiple CD-ROMs. For the netinst approach the CD-ROM images are generally around 100MB.
Grab the CD-ROM image from a web site and burn to CD (preferably CD-RW!):
# cdrecord -v speed=4 dev=1,1,0 -data cdimage.raw
The recommendation is to use the netinst approach--the base packages are provided on one CD-ROM and from there the rest of the system is installed over the network. Debian supplies netinst CD-ROM images as does Progeny. The Debian version is the familiar and well tried installation process while Progeny uses the new PGI (piggy) interface which is quite a bit nicer and is likely to become the standard Debian interface in the future.