CDA files are what windows lists proper audio tracks as (put a original CD in the drive and explore it and you see what I mean) so it sounds like you are creating proper audio CDs (is this what you want, or do you want a CD with MP3 files on it?)
Will the CD's you've created playback on your computer? if they do then it's possible that they may need finalising before your CD player can play them (check the help for whatever you use to burn them), or it might be that you are simply using a brand of CD that your CD player "doesn't like" (have you changed brand?)