I just brought from Direct2Drive D/L content for Oblivion is it OK I burn it to CD disk.

Maybe for personal use but I wouldn't be surprised if any Federal Agents came a knocking.

I would assume it wouldn't in either way (incase you ended up bootlegging copies to people for cash.)

For my own personal use only.

Probably alright, but really not a question to ask the general modding/mod-using public. You need to be asking Bethesda or whoever runs the Direct-To-Drive system if that's not Bethesda.

Having said that, no one can stop you, so why bother asking?

i believe it is legal to make backups of your computer media under US law, http://www.copyright.gov/help/faq/faq-digital.html

unlike the UK. where you are not allowed to make backups, which is a common misconception.

but anyway, it's kinda hard to tell, is a game a computer program?

You are downloading the content to your computer already anyways.
You are not ripping an original CD, just storing what you already have.

What difference does it make to Bethesda whether you keep a copy on your harddrive or on a CD as long as you are not giving it to someone else.
Probably half the modding community has backups of their game in one way or another.

[rant]
The UK has stone age copyright laws, which are largely ignored for things like backups. Pretty much the entire country would be arrested otherwise, since owning a copy of copyrighted material that was not licensed to you by the copyright holder is illegal, basically, which means owning a copy of anything you didn't create yourself and is not public domain (most things are not) and did not purchase through a licensed distributor or the owner is breaking the law. It's probably a bit more complicated than that, but I'm no lawyer, and I think I got the gist.

Like I said, utterly stupid. There's no such thing as fair use protected by law in the UK, unlike the US. Thankfully, the government has just realised this, and are making noises about reforming it. Just as well, as thanks to the Digital Economy Bill, using the internet in a manner that you'd think is legal is actually a grey area legally.[/rant]

I don't know how one would make, or if it is possible to make, a playable CD. That said, it is definitely not illegal to backup your game files; it's only illegal to redistribute them. If you right click the game in your Steam library, there is a 'Backup Game FIles' option. I have my TES:O files backed up so that I don't have to redownload for 3 hours every time I f up my mods .