Hello, and welcome to JustAnswer. I am assuming you have a CD reader on your computer, so it is fairly straightforward to copy pictures from a CD to the hard drive. By the way, technically this is not downloading - download would be when you bring a picture from another system (usually via the internet) to your computer.
Anyway, here's how to do it. There are actually several ways, but I am going to describe the way that (I hope) makes the most intuitive sense. Let's assume you will save the pictures in the "My Pictures" folder under "My Documents".
That's all there is to it - it probably sounds a lot harder than it is.