25 Then Jesus said to them, “You foolish people! You find it so hard to believe all that the prophets wrote in the Scriptures. 26 Wasn’t it clearly predicted that the Messiah would have to suffer all these things before entering his glory?” 27 Then Jesus took them through the writings of Moses and all the prophets, explaining from all the Scriptures the things concerning himself.
This story of Jesus walking with the two disciples on the road to Emmaus is only told in the gospel of Luke. Presumably they were going back home after Jesus' death. It says their faces were sad, despite the fact they had heard of the women's report, and how the men had found Jesus' empty as the women had reported. But these men were still not believing it, so it was logical to just go back home.
So what does Jesus do? He takes them through the Old Testament and shows them how all the scriptures point to him. He went through the Torah (the first five books) and the prophets, which pointed to a Messiah who would fulfill all the promises given to the people of Israel through Abraham. This reminds us that the primary purpose of the scripture is to lead us to Christ. While it is good to read the Bible and memorize it, if we don't find Christ we have missed the point. Then here is what happens next.
28 By this time they were nearing Emmaus and the end of their journey. Jesus acted as if he were going on, 29 but they begged him, “Stay the night with us, since it is getting late.” So he went home with them. 30 As they sat down to eat, he took the bread and blessed it. Then he broke it and gave it to them. 31 Suddenly, their eyes were opened, and they recognized him. And at that moment he disappeared!
At this point their hearts were burning. The Holy Spirit was revealing the truth of the scripture and who Jesus really was. And when Jesus broke the bread, they realized it was him. The explanation of the Word led them to know about Jesus, and then when Jesus broke the bread and gave it to them they knew they were standing there with him.
This is where the idea of the "Word and Sacrament" comes from in the Reformation led by Martin Luther. Luther's definition of the Church was, "Where the Word is preached rightly and the sacraments are administered purely."
Though we too were unbelieving Jesus came to us in the word and the sacrament. When we heard the Gospel we were convicted of our sin and our need for a Savior. As we believed and were baptized are eyes were opened and we came to know him. There are many today who are the Road to Emmaus, disillusioned by reports of Jesus being the Messiah. As we share the Good News of who Jesus is and how the Bible explains that he is the Son of God, the Holy Spirit will burn in their hearts too.