You've posted enough questions to know the score by now, you'll need to give details of your email system, as in, do you use webmail, if so whos, or do you use a mail client such as outlook or outlook express?
But OE is pretty easy, you can just drag and drop any email or folder straight from OE into any other folder on the computer....... (just create a new folder on the desktop and you can drag the mail into it) then burn that folder onto CD.