Actually, yes and no...

Depending on your version, you may need to download cdr tools, but, as with anything in Linux, things are "built" on lower-lever things...

cdrecord and cdrdao, etc... get used by k3b - which is usually standard for cdr material in a "Debian" install...

At worst case, even if the "install" doesnt ( or didnt ) come with any cdr tools or burning software ( aka packages ), any, and all, packages are a simple apt-get install away. Even without actually "installing" the Live CD, you still have options for installing software and still booting off the CD ( see any article, or posting, about klik