I think you must be burning MP3s directly to CD.... most CD players have no way to handle this... you must burn a regular Audio CD. Programs such as WinAmp, MusicMatch and Real Jukebox can handle the entire process of converting and burning a regular CD from MP3 files in one step.
Here are the URLs for these products...
http://www.musicmatch.com http://www.Real.com http://www.winamp.com
Also the commercial product ROXIO will do the same thing.