One way you can do this is to use an e-mail client such as Thunderbird to download your Inbox. After this, it is just a matter of backing up its mail store to CD.
This is a guide showing how to configure Thunderbird to download your e-mail. I recommend following the IMAP method mentioned, as this will retrieve folders inclduing the inbox and leaves the messages on your Hotmail account. If you decide to follow the "POP" method, be warned that this will remove the e-mail from your Hotmail Inbox after downloading unless you choose the "Leave messages on server" under "Account Settings" when setting it up.
Once the download/sync process completes, copy the messages you want to backup to the Local Folders "Inbox" or into a new folder under "Local Folders".
Afterwards, it's just a matter of backing up your Thunderbird store and burning the backup to CD, such as with this tool.
To manually backup an individual Thunderbird folder, right-click the folder and click 'Properties' to get its location. Then browse to this location and backup the file which has the folder's name and also the matching filename ending in ".msf". For example, if the folder is called "Hotmail Backup", you'll need to backup the files "Hotmail backup" and "Hotmail Backup.msf" to CD. To later restore a folder, it is just a matter of copying the two files back into this location and the folder will show up the next time Thunderbird is launched.