Lottie, are you sure you need to archive them onto a CD? If not, why not just create in Outlook Express a New Folder, and put them there? If you are using any Backup software, they should then automatically get backed up to your normal backup location. But if you really need them archived off your PC then read on!
Outlook Express does not have a user friendly way of exporting e-mails to another location. It can be done, as Solari and Mole have suggested (and using their links) by physically moving files on your computer, and I have done this many times when I have needed to re-install Windows, or upsize my C drive.
However, this requires poking about in Windows Explorer (not Internet Explorer) and many people are not used to doing that. It also requires having secret or hidden files being made viewable and even fewer people know how to do that

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So I am with Jacobi on this one, but I am sure it will work if the e-mails you wish to archive are only on your PC.
Set up a new mail account with one of the web-based ones, such as googlemail, hotmail, yahoomail etc. The choice is yours really. You don't have to tell Outlook Express anything about this new account.
Go into Outlook Express and forward to this new account all the e-mails which you wish to archive. You may have to do these one at a time, but you do it in exactly the same way as forwarding an e-mail to somebody else in your address book.
I would carry out a check by logging on to the new account (using Internet Explorer as you would any other website, but giving your user name and password set up when you set up the e-mail account) and checking that they are all there. Then you can safely delete them from your own PC, since you will be able to access them at any time in the future, as long as you satisfy any rules set up by Google, Yahoo etc about the use of that account. (I don't have one myself, but I am thinking about things like not accessing them for a certain period).
I am fairly sure this will work, Lottie, but I am open to correction if somebody knows it won't. I realise it is not exactly what you wanted, ie onto a CD, but providing you don't tell anyone about your new e-mail account, it should remain reasonably secure and you will be able to access the archived e-mails at any time and from any PC. You won't easily be able to restore them to your normal PC, but if the text is that important you can always highlight it and copy it to your own PC and then put it anywhere you want.
I hope this helps - I have tried to keep it as simple as possible

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