You need to know that there are broadly two types of CD that can hold music. An 'audio CD' (aka CD-DA - Compact Disc Digital Audio) has tracks in WAV format and will play in any player. That's the sort Ed refers to in the first reply. When you burn look for the word 'audio'.

You can also just put MP3 files (or maybe AAC files) on CD. This is a CD ROM (CD Read Only Memory) and you also 'burn' these. A CD ROM can hold hours of music, against about 75mins for CD-DA. Some 'CD players' will play them, some most won't. (The one in my car can, and every DVD player I've owned can, but none of my portable players.)

So make sure you 'burn' the right type of CD for your purpose. If you don't know where it will be played you need an audio CD.