A codec is short for compressor/decompressor (coder/decoder). Because there's many file formats out there, codecs are used to decode each one for use/playback. Some applications (apps) such as VLC have codecvs built in. Whereas WMP comes with a very limited number of codecs for playback. In most cases, you need to obtain extra codecs for wmp. There are different types of mp3. Thus this may require use of different codecs.

Because WMA & wmv are a formats copyrighted by Micro$oft, not all other audio & video apps have the correct codecs to play them back.

It sounds like the mp3 format you have downloaded can not be played by WMP because you need extra codecs for it. I don't know anything about WMP burning cd's, but apparently some versions can. For wmp to burn a cd, wmp will need the necessary codec to convert the mp3 during the burning process.

The reason I suggested Audacity (has its own codecs built in) is because it is an audio editor that can import most mp3 types & convert them to wav. It is easy for most burner apps to burn wav files than mp3.

Do you have any other burner application?