File, Import and Export, Export to a file, select the type of file (I suggest .pst), click Next, select the folder(s) and decide whether to check the box for "Include subfolders", and proceed. On the next screen, you can save to the default location or click on the Browse button and change to location. You might try saving directly to CD and see whether Windows will let you do that. If not, then save to your hard drive and then burn to CD as a separate action.
