Well let’s start with the information you didn't include in your post. I can only assume you are talking about CS2 (not just "photoshop") and you are actually working in Bridge. It's pays to be specific if you really want good info. Given that ~
In CS2 or really Bridge, The cache stores thumbnail, metadata, and file information to shorten loading times when you return to a previously viewed folder. You can see this happening when you load a new batch of photos into Bridge. Slowly the files go from small previews to the larger previews and looking the "clock" running in the lower right hand corner.
Again it's only use is to speed up the process of viewing thumbnails and EXIF data or file info. It DOES NOT have anything to do with settings or changes you make to your raw files. These changes are saved in one of two ways, XMP sidecar files or a central Camera Raw database (not to be confused with a centralized cache). This choice can be made form the Edit->Camera Raw Preferences option in Bridge. If you haven't got that far in your book yet, keep reading. But really the difference between them is another topic all together.
Back the cache. You have a choice here as well. You can use a centralized cache or a distributed cache. You can make this choice form the Edit->Preferences->Advanced option in Bridge. The difference here is either this thumbnail/file info is stored in one central location, or is stored within each folder with it's respective images. Each has it's good and bad, but generally a centralized cache is easier to work with. One reason being that every once and a while it can be helpful to purge the cache if it becomes corrupted.
Like I said before, If you use a distributed cache the files are stored in the folder with the images. But, they are HIDDEN FILES. If you want to see them you have to use the View->Show hidden files option in Bridge. Regardless if you show them or not, they will be transferred to a CD if you move and burn the entire folder.
If you use a centralized cache, the option to Export Cache will then be available to you form the Tools->Cache menu. This is of course because the files are not stored in the folders with the images, but instead in a central location you set from the Edit->Camera Raw Preferences menu.
When you choose Export Cache you will get two files (there are always 2 cache files) one ending in .BC and one ending in .BCT. They will be exported to the folder you are viewing when you choose the Export Cache option. If you don't see them in the folder while using Bridge it is again, because they are considered hidden files and you have to select View->Hidden Files. If you navigate to the folder outside of Bridge, you should see them just fine.
Now you have your cache and can burn it to a CD or what ever you want to do with it. Funny thing is all of this is a lot of junk do go through just to avoid having CS2/Bridge rebuild the cache when you import the files from the CD. If you don't do any of the cache business, CS2/Bridge will rebuild the cache just as it did when you first loaded the files in from your camera. So really you are just saving yourself a small bit of time. Is it worth it? Maybe... Maybe not... It's up to you to decide.
Take care~