I've never played a CDG file, so sorry if this is crap advice
Maybe the problem's with the player you're using? AFAIK only certain players will play these files properly (some will just play the audio & not the graphics)
http://www.tricerasoft.com/whatis.html#q3

See if there's any help here
http://web.ncf.ca/aa571/cdgfaq.htm

Otherwise, maybe someone else on the forum has a few more clues