Saving *.PST files to CD-R

I have several users that have 500mg *.pst files and want to back them up to CD. I thought if you just write the the *.pst file to cd then point Outlook to the cd when creating a personal folder this would work. I get a “File Access Denied” when trying to create a personal folder pointing to the cd. I tried copying the *.pst file to hard drive from the server shared directory and then gave “everyone” rights to it. Still no luck. I haven’t tried exporting the hard drive from the shared directoryyet. That is next. Any help in this matter would be appreciated.