Create a folder on your Desktop, then in WinMail open the folder with the
messages you want to save. Highlight one message, then Ctrl+A will
highlight them all, (or hold the Ctrl button down while you select only
the messages you want), Now, drag and drop them to the folder on your
Desktop.
Now you can copy that folder to a CD and you will be able to read the
messages on the CD by double-clicking on them.
You may find that messages with the same subject get appended, probably
with (1), (2), etc. See how they look in the Desktop folder first before
copying to see if you like it.