You need to download the iso images, which are basically copies of a cd.
Got to http://www.slackware.com/getslack and select the mirror nearest to you. From it, download the iso images for Slackware (3 iso images, i think.)
Once you have them, open your cd-burning application and, somewhere on the menus (depending on the application) there should be an option that says something akin to "Burn cd image."
Select this option and select each iso file as a cd image. Once that's done, the you will have your bootable cd's.