I think maybe you are missing a lot of information you need to know to do CMYK. The way you word your questions makes me think that, but here goes... As said earlier, each channel is represented as a single black and white picture. This is what you need to make a film, after all, just like spot colors, your films are black and white (clear in place of white). You need one each for C, M, Y, and K. If you split your channels, (Channels pallet, options menu, "Split Channels") you'll then have 4 separate files representing a grayscale of each the 4 colors. To convert to halftone, save a COPY of each of these, then convert the mode from grayscale to bitmap. In the following dialog box, increase your output resolution to about 1200 (this will make for cleaner dots) and change the Method to Halftone Screen. In the following box, set your line count, angle and dot shape and click OK. View it at 100% to see the dots cleanly, and print it out on paper to get a look.
Steve
knowing how to get to CMYK from RGB is another story altogether, and that comes before the above technique.