mp3s should be fine to burn onto a CD
Are you burning an audio CD or an mp3 CD? They're different...an mp3 CD has the songs still in their compressed format. Lots of players won't play mp3 CDs...try burning an audio CD & see if that fixes things.

Also check the type of disc you're using to burn...lots of players won't play CD-RW. Try burning to a CD-R disc.

These links might help.
Burning an audio CD from your MP3's
Windows Media Player 10 Guide: Adding Songs to Your Library and Burning CDs