Is it possible to save all my e-mails in a CD all at once ?

Answer 1

Yes
Save the emails to a file on your desktop or documents whereva..
Copy the file to "Ready to Copy to Disc list" or Right click and say send to (D:/)
Go to My Computer and click (D:/)
And on your explorer say "Write to CD"
Follow the wizard and your emails are saved.

Answer 2

If all together they are less than 700 MB. Yes
As a rule of thumb i try to keep Cd's around 600 MB You have less problems that way.