Well, following the advice on Debian's website, I downloaded Jigdo and began downloading CDs. I selected all 21 Debian CDs, and it took all night to get through to CD 8! What Jigdo (a contraction of "Jigsaw Download" does is take the files from several different mirror sites across the country and the world, and use them to create full CDs. This lessens the load on specific mirrors (it's all explained here).
Anyway, I did this for two nights in a row, only getting to CD 15 - then I read somewhere that I only really needed CD 1 to get started! Oh, well.
I also learned a bit about CD images (ISOs). ISO files are compressed versions of all the single files you need on a CD. You can't just write the ISO file to a CD, which is what will happen if you use Windows XP's built in CD writing utility. I initially used an ISO Recorder program I came across on the web, but the first CD I burned with it had an error, so I tried Burn 4 Free, which worked fine.