The proper way to save your Contacts is to create a new PST
(File>New>Outlook Data File), then right-click your Contacts folder and
choose "Copy 'Contacts'", specifying the new PST as the destination. Close
the new PST (right-click it and choose Close), then close Outlook. Copy the
new PST to the CD-RW.
If, later, you want to reference those Contacts again or are giving the list
to another person, copy them from the CD to HD, remove the read-only
attribute (right-click>Properties), and open the PST in Outlook with
File>Open>Outlook Data File. Melissa's advice to export is poor advice.
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