The last couple of months of sermons are available here. Sundays not listed had technical difficulties or were not recorded, so they are not available. You can load them into your browser or media player to listen to them. You should be able to save them to your hard drive, burn them to a CD, or move them to a mp3 player like an iPod.
Directions for direct downloads:
(PC) Right click on the sermon you want to download. Click "Save target as". Save it to your computer somewhere (desktop is the easiest). When it downloads, go to the file on your computer (desktop), right click it, and click "send to". If your computer is set to use a program to burn cds, choose that from the options. If not, then it will list the drive for your cd and you can click it.
(Macs) Control-click on sermon you want to download. Click "Save link as". Save the file where you can find it. Burn it to a CD using your normal burning methods. If you like, do several sermons, import them into iTunes, create a playlist, and burn the playlist to a CD.