you need to check your player recognises mp3 files - it may well be that it only recognises the wav format used for a store-bought CD

2 things you could do - assuming your have a player on your pc desktop - put your new burned cd in the drive and then see if your pc player can see and play one of the burned tracks - if it can then your problem is with your new cd player - there's then only 2 obvious things you can do

you could convert your downloaded mp3 files to wav files before you burn them to cd and then your player will recognise/play them (you can easily download a mp2 to wav converter via a google search and the conversion is super quick)

or - you can buy a new CD player that can handle mp3 files

Cheers, bad_vlad