I found a similar tutorial elsewhere (without pictures) and rewrote and screenshoted it. I hadn't burned a CDI file in a while and was happy to find that you can now use a free program (anyone else remember pirating Alcohol 120%?) to do it.
Step 0: Download the game you want to burn and place a blank CD in the drive.
Step 1: Download and install the latest version of imgburn on their official website: http://www.imgburn.com/index.php?act=download
Step 2: Download pfctoc.zip by clicking here.
Step 3: Extract the contents of pfctoc.zip into the directory you installed imgburn in. (usually C:\Program Files (x86)\ImgBurn)
Step 4: Open imgburn and click "Write Image to Disc"
Step 5a: Click the folder icon under source and browse for the game.
Step 5b: Change the write speed to 1x. Your CD drive probably can't handle 1x, but setting it to 1x will put it at the lowest it can go.
Step 5c: Click the large burn icon in the bottom of the left half of the screen.
Step 6: It will most likely ask you how you want to handle the over-sized image. Choose over-burn.
Step 7: Wait for your disc image to slowly burn and enjoy!