You cannot save the tax return to the CD. You save the return to your computer's hard drive. By default all the tax data files and any saved PDF's are saved to the TurboTax folder in the Documents directory on the C:\ drive.
Click on the File menu at the top left of the desktop program screen. Click on Save.
It's always a good idea to make a backup copy of your tax data file, in case you lose the original or it gets corrupted. Here's how:
@bluedeb Thanks...I was thinking they wanted to save it to the TurboTax CD.