CMYK support is a feature of Photoshop, not Photoshop Elements. If you are going to be doing much CMYK work you really should think about getting Photoshop which has full support for everything you are going to need to work effectively in CMYK. Photoshop also supports spot color channels -- also not supported in Photoshop Elements.
It is possible to make CMYK separations in Photoshop Elements using basic principles, but it's tedious. There is a book, "The Hidden Power of Photoshop Elements" that describes the process and includes some add on tools to make it easier. There is a version of the book for Photoshop Elements 4. If you want to learn more, see this site:
http://www.hiddenelements.com/There are a lot of gotchas working with CMYK for prepress. If you aren't familiar with the process, I wouldn't recommend attempting it in Photoshop Elements. If you have a good print shop, you can often have them do the conversion for a fee if CMYK is required.