You don't need to install Debian GNU/Linux from CD-ROM. You can obtain all of the Debian packages from the international network of Debian mirrors by simply using the Debian package tools (often based around the apt-get package and including those that provide more user-friendly interfaces to apt-get including capt, gnome-apt, and aptitude).
Of course, if you do not have ready access to the Internet you may want to burn your own CD image of the distribution (assuming you have enough access to download the images!). Or if you are installing Debian GNU/Linux on multiple machines then the CD-ROM installation is the best option.
Burning your own CD-ROM is a straightforward process using tools supplied by Debian specifically to build, as a file, an image of the CD so that you can then burn the image directly to CD using CD writers on any platform you may have access to.
The recipe presented here uses a Solaris host (but can be any other Unix or MS-Windows host) with good Internet access. You will need to install ncftp version 2.4.3 (don't use the more experimental version 3beta of ncftp as it has a different behaviour that does not work with the Debian tools discussed here--this may of course be fixed in more recent releases.) You will also need wget. These are both freely available on the Internet (check freshmeat.net).