As far as I know, all DVD-writer should burn CDs too. If not then there must be something wrong with the writer, the program or it's just rubbish!
The PES4 image is a DVD-image and is simply patched and burned - you don't need to convert it to anything. Just check the sticky thread guides to patching and burning PES4 on DVD and CD to see how much more there is to doing it for CD.
I believe that burning to DVD is better since nothing is downgraded to fit and it contains the full game. Burnt properly (slow as possible) on decent DVDR media and it should be fine. Burn too fast and it's not good for the life of your PS2 laser.