You can probably do a file/ save as and then save to a spot on the hard drive and then copy to the CD.
You have to do that 1 at a time though. You would also need an email program installed because when you open an email, it will want to open in an email program. I can not tell you if AOL will open Yahoo and vice versa. Or if another email program like outlook will open them.
Another option is that there is usually an export function, but that will export all of them as 1 file. To view them you would have to import them back in.