A commercial recording I want to buy is only available in download form and I want to play it on my hi fi. Can I use Audacity to download a commercial classical recording and then to transfer it to a CD?
Use your web browser to download the file, and use a CD burning program (such as CDburnerxp or iTunes) to make the CD. Audacity is not required for that unless you need to modify the file in some way before putting it on a CD.
If you want to play the CD in a normal CD player, be sure to use a CD-R (not a CD-RW or a DVD) and be sure to set your CD burning program to make an audio CD (not a “data” CD).