|Although you've selected a 'best answer' you're acting like it hasn't been fixed.|
Sometimes a cd needs to be 'finalized' or 'session closed' before it'll play in a device it wasn't recorded on.
As already mentioned, they may be mp3 and not wav format. Can you view the files on the computer and see what their extension is? For example, song1.mp3 is an mp3. Song2.wav is a wav file. Your computer will play either format but your cd player may only play wav.
They need to be specifically recorded as audio cds and not data cds in order to work in a cd player. In a computer a data disk having audio files on it won't play as a normal audio cd but you can click on the file and it'll then play.
Some cd players don't work well with cd-r/w disks so if that's what you're using try cd-r instead.