Did you use CD-R disks or CD-RW. The latter will not work in audio players. I only now this do to a current discussion on my ISP's tech newsgroup about the same issue.

In fact here is an excerpt:

"Correct. I have a Sony CD player in my truck, tried to burn wav's to a
CD-RW, it wouldn't play. You need to put them onto a CD-R disc to get
them to play, had no trouble doing that myself."

Hope this helps.