I do not know if I have to create MX records, CNAME
As far as I recall nothing in the certification requires you to create any CNAME records. For mail you do need an MX record (or multiple).
You are going to need:
1. An MX record for your domain listing the hostname of the mail server.
2. A AAAA record mapping the hostname of the mail server to an IPv6 address.
3. For the next stage of the test, a PTR record mapping the IPv6 address of the mail server back to the hostname.
I think the test is supposed to work as long as at least one of the MX records point to a hostname that has at least one AAAA record. If you have multiple MX records for your domain, it is acceptable to have some of them be IPv4 only.
If the hostname of your mail server is within the same domain, then the MX and AAAA records can both be setup in the same place. The PTR record for the next stage of the test depends on your provider of IPv6 connectivity. If you happen to be using a tunnel through HE for IPv6 access, there is a webinterface to configure the PTR record.