If you burn .wav files to a DATA CD you'll end up with a CD where your files are still in .wav format but which can only be played on a computer (and NOT in a CD player).
If you burn .wav files to an AUDIO CD you'll ALWAYS end up with .cda files being shown in Windows Explorer because they're the ONLY type of files that a standard CD player can use.
Strictly-speaking though. cda files don't actually contain any music tracks. An audio CD has just ONE composite track on it, which contains all of the individual tracks that you added to the CD. The .cda files are just tiny 'shortcuts' that tell Windows - or your CD player - where the data for each individual track is located within the big composite file.
So, irrespective of which burning software you use (or which file format you start with), Window Explorer will ALWAYS show .cda files on ANY audio CD that you create.