Hmmm, Alcohol 120%
should be able to burn .mdf
should also do the job, see http://www.yasasoft.com/press_release/burn_mdf_file.htm
Final suggestion, if that doesn't work you could try doing the following:
... Mount the files using Daemon Tools (hopefully it mounts without error otherwise I'd say your image is corrupt).
... Use any burning software to copy from the "virtual drive" to a CD-R.