Sounds like you're burning the disk as data as opposed to an audio CD. If you're using a mac, I recommend putting the songs into iTunes (I know, I know, but it is good for this one thing I promise) and create a playlist with the tracks. Then choose burn CD from within itunes playlist and it will create a playable disk.
If you're on windows, I would imagine iTunes is still available and will work the same as on a mac, but have no direct experience here. There's probably freely available software for windows that will do the same thing with far less faff. Someone might even come along and make a suggestion hopefully...