Let $D$ be a regular set. So, $D$ contains a set of strings which all can be accepted by a FA.
Now, $CFL \supset RL$.
This means set of all context-free languages (not set of strings, rather set of set of strings), is a super set of set of all regular languages. No need to prove this as every regular language is a CFL and there are CFLs which are not regular.
Individually there may or may not be any subset/superset relation between a regular language and a CFL. (The relation is between set of all regular languages (RL) and set of all context-free languages (CFL)). For example the regular set $\{\}$ is a subset of any CFL and the regular set $\Sigma^*$ is a super set of any CFL.
(Consider Indians (set of people born in India) as a subset of Asians. Now can we say an Indian - say "Mohan" a subset of an Asian "Lee"?)