Are you able to burn Fallout to a CD, and if so, how? Is it only DVD/External HDD? I tried to copy the Setup file to a CD, which had 700Mb on it, but it dies midway through, and make the disc lose sever hundred Mb of space. Am I doing something wrong? Any help would be appreciated. Thank you!

Its just a data file and can be burned the same way any other file can be burned to disc. Perhaps you simply tried to record to a bad disc? It happens.

Open Nero, choose burn CD/DVD and drag and drop fallout_setup.exe there.
Thats how I did it an hour ago, and it works like a charm - like anything else I have ever burned : ).

sometimes your new discs can get greasy and it's very hard to tell.