Are you sure you're not trying to burn an mp3 CD instead of an audio CD? mp3 files are fine to burn onto a CD but an mp3 CD is different to an audio CD.

This might help you
Burning a (audio) CD from your MP3's (Windows)

Lots of players won't play mp3 CDs. Try just burning your mp3 files as an audio CD.

You also have to be careful with what sort of CD you burn to. Lots of players won't play CD-RW. Try using a CD-R instead.