Why is it I no longer can save a Word document directly on CD?

I created a document in Word and tried to save it on the CD (D drive). I use
to be able to save a Word document directly on the CD by selecting File,
Save As, "D" drive and without having to first save it on the hard drive.
What has changed? Now when I select the "D" drive to save a Word document,
I get a message that says "incorrect function". If I want to save my
document on the CD, I first have to save it on the hard drive and then go to
Roxio to save the document on the CD. Then the document becomes "read only"
which I cannot make changes. Is there a way I can save my Word document
directly on the CD and not on the hard drive?