Folders are rather strange in that, as collection of files, they don't actually exist! They're a bit like the index pages at the back of a book, which allow you to quickly go to straight to where you want but don't actually contain the relevant pages/files. So you can't email a folder, as such.
To email all your documents as a single file you need to put them into a 'zipped' file (which, confusingly, Windows still calls a 'folder'):
Go to the folder that contains all your documents.
Then go to Organize > Select All. (That will highlight everything in the folder).
Right-click on any file and select Send To > Compressed (Zipped) Folder.
That will create a file which you'll be able to email.
The recipient can then double-click on that file in order to decompress it and see the original document files.