Sure you can save the folder onto your hard drive and burn it onto a CD.
   Maybe so, Maybe not.   It could be larger than a CD.

The much simpler and quicker option is to save only the files that contain the messages, and likely an index file.

In my program, I have a file,   silver.mbx
and
                                          silver.toc

You realize of course that many of the valued messages may not even be on the local computer and be sitting someplace on a web mail server.

I was wondering just the other day.....is there some way the average person can save all this email? I mean now that I have 9925 messages....there's probably no way to open each and put them somewhere else to burn onto CD is there? I'd sure hate to lose all this!!!

    You need to learn where the file is located and the file name.
It is simpler than you think. Sort by date and time, or study the date and time of your files.

If you tell someone what mailer you use, they may be able to tell you the file names.

Does your ISP have a genuine  POP3 Server and an  SMTP server?
If you don't know, call and ask them the names of these servers.

Many ISP's don't have one.  AOL for example,  Walmart, and others.
If not, likely you are doing web based mail which is slow, cumbersome, and costs you 50 to 100 times as much time as would a genuine mail server.

Genuine mail programs will filter and sort your mail for you, and save every message without any effort on your part. ........ other than setting up the software of course.

Email  me off list with any information and questions.

I did not mention compression programs that allow you to store much more date on a floppy disk or CD.

Wayne