There can be a few reasons that may happen.
1. Your stereo player cannot read CD-Rs
2. You burnt your disk to CD-RW & certainly most older players & many present ones cannot play CD-RW's.
3. You burnt your disk as a data disk or mp3 disk & your player cannot play such.
4. You burnt your disk at too fast a speed. Some players don't like cd's burnt at too high a speed, and some don't like the very high burn speed disks.
5. The brand of disk you used was cheap & nasty & not good for burning music to. Some CD-R brands are cheap & not good quality for music. Particularly those made in Taiwan, or China. Some stereo players may prefer one brand to another & give better & more reliable play performance (reads the disk easier).

My suggestions are:
1. Make sure you choose a blank CD-R disk of reasonable quality brand. Good brands will last longer & burn better.
2. Burn the disk at medium or minimum speed. The slower the better.
3. Make sure you choose Audio CD format with your CD burner program ... do NOT choose Data disk, or mp3 disk. Check the settings before you burn the disk.
4. Check the songs on your computer first to be sure they are playing ok.

5. Be sure your CD burner program has the ability to convert mp3's to audio CD format during the burning process.