Here's how it works..."Rubber Deception" comes to you as an Instant Download directly from PM.
These/all videos from PM are made available in MP4 format.
So, lets 'scratch the surface' on this subject.
This MP4 file format 'container' is used to compress large audio or video files into a size that is small enough that it can be quickly downloaded.
Here's where a problem can occur in regards to, using your description, 'CD format'...Unfortunately, depending on your CD burning program, some/most older software may not recognize the format.
Thus, in order to burn MP4 files to a CD you first have to convert them to a format such as MP3.
That conversion isn't difficult, just a nuisance item ;-)
An mp3 is a little lower quality, but you shouldn't notice at all.
I'm not sure why you'd want to burn them to CD's, but that's another chat question altogether.
Candidly, just download them to your computer/device. All newer players will play these mp4's just fine.
Best wishes...
