I want to have files written to cd online and sent to me, eg I find
updates for my computer but it would be infeasable to download them on
a 56K modem, so I send the link to a site and pay to have it written
on to cd and sent to me.  The site should be in the UK or at least
charge and despatch to the UK within a small time frame.

fileplanet has a cd burning option, but its mostly for files hosted on
thier servers (they have tons of files)
http://www.fileplanet.com/cd/cd.shtml

this page looks like it might do what you want, but its based in usa
http://www.houstoncomputing.com/services.shtml

http://www.swiftcd.com/services.asp does this, but its in usa too

i'd suggest you contact a local computer or hosting company with a
shell account, which allows you to run programs (run programs to
download what files you need), and then have them burn files for you,
then you could pick them up or get very fast mail, being a local
service.

google for "CD Delivery Service"