Is it possible to download eM Client installer to a CD? If so how?

I would like to test eM Client in a intranet environment, and I was wondering how to download the installer to a CD. When downloaded it does not give an option for a location to where it can be saved.

Depending on your browser and settings, it probably downloads to the default location.  You can simply move it (setup.exe) to wherever you like, including burning it to a CD like any other file.