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This is an option in FP 2003. I don't recall it being there in 2002 but you may want to check. If it is there, go ahead and go through the process and just browse to the CD, rip and burn.
The other way would be to do a Publish to your local system and then backup the folder you published to.
P.S. Also, if you have a hard drive failure and your site is hosted somewhere, your host is hopefully backing up once every 24 hours so you'll have additional backup. I'd make sure your host is backing up and I'd have them send you a copy of the site from yesterday's backup to make sure that all is working as it should.