You can't change file format before downloading.

What burning software are you using?

Are you sure that you're not burning an mp3 CD as opposed to an Audio CD? An mp3 CD will have the songs in their compressed format & lots of players won't play mp3 CDs.
Your burning software should give you the option of making an Audio CD - try that & see whether it fixes the problem.

It could also depend on whether you're burning to a CD-R or a CD-RW. Lots of players won't play CD-RW discs. In that case, try using a CD-R disc. And don't burn at maximum speed... burn at a slower speed.