|If you burn a .wav file to a cd as a data file then it's still a data, and not an audio, cd. You can then play that disk with WMP, winamp or any of the other players.|
But it's not an audio cd that will play in a cd player. It's just an audio file on a data cd.
You need to use your burner software to specifically create an audio cd. I think the last time I did that I was using some dated burner software that had me constantly swapping the music cd with the cd being burned.
You'll need to check the manual or help file for your burner software to see how to do it. You may be able to do it as I did above or your burner software may be able to create an audio cd from .wav files on the HD.
I suppose it's also possible, if you've actually created an audio cd, that your player won't read a cd-r disk.