CD's and DVD's actually have tracks burned on the disk by a laser diode. If there is an attack that generates an electromagnetic pulse strong enough to ruin them, all the equipment capable of playing them would be ruined also [not to mention anyone unfortunate enough to be in the vicinity].
So dlwolff0 is saying (if I understand him correctly) that except for very rare extreme situations, yes (they would survive an EMP attack) and no (they do not have to be sheilded).