You must make sure to select the "Burn Audio CD" option in your CD burning software instead of "Burn Data CD". I only work with Nero, but I assume any CD burning program should ask what kind of CD you want to burn as the first step in creating a CD. "Audio CD" converts the audio files to .wav format and finalizes the disc, so any old player can read it. But if your player is a fairly new one, you can burn it as data CD as well. It should be able to play it. The "Audio CD" option is just in case you want to be completely sure that absolutely any player can recognize it.
Hope this helps.