Does a game engine runtime work on all operating systems? Do game engine runtimes work on all versions of windows? Would it work on Linux and OSX too?  I am assuming it only works on Windows but I would like to know for sure.

Also, would it be possible to burn it to a disc?
No, the output is dependent on the OS that you called it from (Blender 2.6 Doc)

If you executed make runtime on Windows, then the output is a Windows executable (and various DLL files). This package will only work on Windows.

Running the same function on the Mac will give you a Mac .app file, etc.