To save the whole PST file, which might be easier, close Outlook, and use
your CD burning software to burn the PST file to CD. Note that to open this
on another computer, you'll need to copy the PST file back to your hard
drive and remove the read-only attribute before Outlook can access it.
If you don't know where your PST file is, do a search for *.pst (include
hidden/system folders if on W2k/XP).
If you don't want to copy the whole PST file, export the individual folders
to different PST files and burn those to CD in the same manner.