Try putting .wma at the end of the files your searching for. An example would be
"Song Title .wma"
There are other burner programs that can make cd's from mp3's that'll play in your stereo. Nero is a good one. You can d/load a trial version here:
http://www.nero.com/enu/Downloads.html
Other threads of interest:
Burning a (audio) CD from your MP3's (Windows) burning ignorance isn't bliss ... What you should know about WMA Files