You probably need to burn an audio CD, rather than an mp3 CD (mp3 CDs will only play in some players). What software are you using to burn CDs? Have a look at your burner software, you'll probably see the option to burn an audio CD or an mp3 CD/data CD. Choose the audio option

Also, what type of CD are you burning to? Lots of players won't play CD-RW...maybe you need to burn to a CD-R??