Are you sure you're not burning an mp3 CD instead of an audio CD? 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 files as an audio CD

You also have to watch what sort of CD you're burning to. Lots of players won't play CD-RW. Try using a CD-R instead.