There are basically 2 different types of music files- a CDaudio (.cda), and an MP3. The CD players you have are probably not MP3 compatible and can only play a CDA format disc.
Your CD burning software needs to be able to burn an audio format (CDA) disk using MP3 files as the source. One very good package is EZ cd creator. The last version is version 5.0. If you have this, simply select the 'audio format' CD icon, and simply select MP3 files. The conversion will be done 'on-the-fly', as the CD is burned.
Email me if you need more help!
Bullog aka Ronnie