Can I transfer (copy) my emails onto a CD or DVD?

Converting email: you can use File, Save as but that is one message at a time. You'll need to use a 3rd party program to process an entire folder or message store - the programs preserve folder structure so the folders in windows explorer will be the same as in outlook. A list of programs is at http://www.slipstick.com/addins/housekeeping.asp. Or you can use the Acrobat trial to make the package. You can test it - you won't be deleting messages from the pst and can try various methods.

You can drag as many messages to Windows explorer as you want - i'd limit it to about 100 at a time though, just because it might be slow if you do too many at a time. Selecting one item, holding shift then clicking on the last should select all. If you want to select the entire folder contents, select one message and Ctrl+A to select all. (This may not work in the yahoo email client - it will work in outlook.)