ok..I have no idea why someone mentioned the FAT. FAT is a file system version. It has nothing to do with your file packaging which is the problem.
To play the files in a CD player, you need them to be cda extension (which is like a wav, raw format). If your CD player plays MP3 as well, then there isn't really anything special, just Juliet 9600 format (default format)
You can make a data CD and put the mp3 files.
I use Nero all the time. I don't really like the new versions (I liked better 6 Ultra) but they get the job done for me. I had the problem with the program not acepting the CDs (Mainly with Roxio) but that is really because it does not like the media (THE CD ITSELF)
A big tip, is I don't like the Windows burning (drag and drop in the folder) so I always use a software. There are even free software for burning for example CDBurnerXP. Try that software instead