The Vorkosigan novels are mostly in omnibus editions. The CD which came free with Cryoburn really does have the entire thing (minus Memory, which is
a mere $6 at Baen, $3 if you buy it within the
Webscription bundle with several other books).
Since the OP is looking for Firefly-ish stuff, start with
The Warrior's Apprentice in "Young Miles" which is classic Boy's Own Space Opera. If the reader wants a slightly more romantic tilt, they can start with
Shards of Honor in the "Cordelia's Honor" omnibus, which supplies background on how the previous generation got together. IN SPAAAACE!!!!!
ETA: Here's my breakdown of the
contents and chronology of all the books on the CD and suggested reading order from last time, if it helps any.