Hi, I played King's Bounty from the cd no problems.

I want to play the sequel Armored Princess. I saw it on a cd made in the UK. Do you think the game will play here in the US ?
Yes. Many of us have games that were only released in UK versions. Secret Files: Puritas Cordis, for example, has not had a North American release. There have been very few computer games with regional restrictions.
I also saw this sequel as a download. But I like having a cd in my hands.
I don't know how to burn cds so I'm afraid of losing the game if I don't have a cd.
Even if you were able to burn the download to a CD, that doesn't mean the game doesn't have product activation that limits the number of times you can install it. You'd need to check the site where you found the download.