If you care about supporting creators, many modern Dreamcast titles are sold on physical CD-Rs via limited-run publishers like PixelHeart or RetroSumus . Buy those. For long-dead commercial games from 1999? The archive is a museum, not a store.
Because CDI files are non-standard, you cannot use basic Windows "Burn to Disc" features. sega dreamcast cdi archive
The .cdi file extension (originally created for DiscJuggler ) became the standard for these "self-booting" images. If you care about supporting creators, many modern