First you need to find out if your CD player plays CD-Rs, and if so, does it also play MP3s and WAV files. A simple way to do this is by looking it up in the manual. If you don't have a manual, try looking for your model on their website.
Next, make sure that you set your CD- burning software to burn a DATA
disk. If you have the option, you could also burn a MP3
disk. Data disks
have always worked for me.
Drag and drop (or Copy and Paste) your files into your burning software. Once you're satisfied with the songs on it, hit BURN
or Write to Disk
If your CD player does NOT play MP3s/WAVs, then you have to burn an AUDIO
CD. Keep in mind, you can only add about 80 minutes of music to an audio disk.
I recommend using Nero to burn your CDs. It is one of the best burning software I have used. This should work. If in doubt, try this tutorial