I do own a DV camcorder, not the model you have, but the premise is the same for all of them. You shouldn't have to use the DV connector, most I have seen do have S-video out. However, if you have no need for analog capture, it is strongly recommended you get a DV card. DV carries many benefits over analog.
You won't be able to straight burn your footage from your DV cam to a cd, or at least you won't want to. You'll only be able to fit 3 minutes of raw DV footage on to a CD, which is obviously not really useful. You'll have to compress it some or switch to another format, mpeg for example.