1) For some manufacturers (Dell) you can get a tool from them to burn your system restore data to a DVD. For others, you may look into creating a bootable cd using a tool like BartPE, VistaPE, or another generic rescue disk maker. I personally use BartPE, it was quite easy to use.
2) System restore points can't be put onto a disk, from vista on, the computer uses what's called "Shadow Copies" (it doesn't really delete things when you make changes, it just deletes the header, but keeps track of the old file). Since it doesn't actually have a block of old files laying around, there's nothing to move to CD.
3) If you need to import a registry backup into a corrupted install you can use a win7 disk you borrow from someone else, or you can use a rescue disk like BartPE or whatever - they almost univerally have registry editors included.
4) to use restore points from a boot scenario, you need a windows 7 DVD. Once you boot up from the CD, just hit "repair" instead of "install" and then select the option about restore points. I think it's called "roll my system back" or something similar.
Post Script - If you're not able to burn a windows 7 disc from your rescue files on the computer, try calling up their tech support and telling them your partitions got messed up or something similar and so you lost the rescue data. Ask them to mail you a restore DVD, it's a hell of a lot cheaper than sending a tech out, so they'll usually do it.
You should be able to initiate a boot to the repair partition without creating the recovery disks. Normally, you must have access to the OS to actually create these disks.
Sony's usually use the F10 key to access this recovery partition. Pressing F10 while the system is loading (just like F8 for the Windows boot options menu) should open whatever recovery system Sony installed on the laptop.
If F10 doesn't work, post the full model number of the laptop so we can look up the specific instructions for that model.
Best Answer
You can use the COA to install using an OEM disc, yes.
Bear in mind that for VAIO notebooks, you'll need to follow the Install Order on Sony's support site if you want basically anything on the notebook to work properly (wireless and webcam are the major problems).