Call of Duty is over 4 GB I remember, so of course it goes on a DVD-R. Most games I've heard that were downloaded either come with one file that has an .iso extension, or 2 files, one is .bin and the other is .cue. Now, when it's done downloading and if you get a bunch files with an ext. of .R01, .001, or something similar to that, you still have the game, you just need to unpack all those archives first.
I've read that WinRAR is the best for this sort of task, go here to get it if you don't have it already:
http://www.rarlab.com/download.htm I'm not sure what your primary language is, so that page has a bunch of different languages to choose from.
Now if you just get an .iso file, or a .bin and .cue file, you can use DVD Decrypter, Alcohol 120%, or Nero (these 3 have had the most success rate). This link will show you how to do it with DVD Decrypter:
http://www.angelfire.com/games6/easytutorial/dvddec/dvddec.html
If you want to use a different program, say what it is and I'll give you the right link for it.
