I don't think you can make a CD from the download.
<http://www.alsoft.com/Buy/beforeyoubuy.html> says:
"In order to use the download copy of DiskWarrior, you will need to start up from another disk with Mac OS X 10.3.9 through 10.4.x installed. You will then need to run a copy of DiskWarrior from a disk that is not the disk you are repairing. (The DiskWarrior download does not include the Apple System files necessary to create a startup CD.)"