If you burned an mp3 CD, rather than an audio CD it could be a problem...lots of players won't play mp3 CDs. The mp3 files themselves shouldn't be a problem Check out this sticky for some info about burning an audio CD
Burning a (audio) CD from your MP3's (Windows)

It can also depend on what kind of CD you're burning to...some players hate CD-RW so if that's what you're using, try a CD-R instead