Re "It is allowed": you need to say where you are, allowed in some jurisdictions, not in others. Some jurisdictions allow for private use as backup, but the semi-public use in a dance club might or might not be included.
"...copy is compressed, etc" It can be, but need not be.
If you advise us what equipment & software you have available then relevant advice will be forthcoming for sure.
Your dance club player is probably being asked to play an MP3 disc, but unable to do so. A different player may well be able, but burning a new disc in CD format is most likely to work out cheaper.