Your computer has to have a CD burner - and most newer computers come with it. You can't just copy or save the files - you need to "burn" it onto a blank CD using software that comes with the burner. The easiest way would be to copy the files from the Photopass CD onto your hard drive. Then put a blank CD in and in most cases the software will start and you just follow the directions - usually pretty easy. Just make sure you know where you saved the files on your hard drive.
Never having gotten the PhotoPass CD (I plan to in September) I don't know if it has any kind of protection that would prevent you from copying the files onto your computer.