In your cd burning program, you have to select that you want to create an audio cd, then you can drag wav files over and they will play perfectly fine in a cd player. In nero, you can even drag mp3 files over and it converts them so the play in a regular cd player.
This is a common misconception - they're not. CDA "files" are the result of an operating system interpreting the tracks on the disc. "Bookmarks", more or less, 44 bytes long (in Windows at least?). Try copying a CDA file to your hard drive and see if it plays.