The first thing you want to do is get them onto your hard drive. Set up a folder in my documents,or my pictures, or wherever you want and titled it something like hotmail email photos. Then go to your hotmail account and when you get to a photo you want to keep, right click on it and then click on "save picture as" (be sure to give it a unique file name) and put it in the folder you created for that purpose or create one at that point. Do this for all photos you want to keep. From there it is a matter of using your CD burning software to burn these photos to a CD. This should be a relatively simple process since all of your photos will be in one folder. This is how I do it, but maybe others have different ways.
Good Luck