Did you burn to CD-R or CD-RW?
Did you "close" the CD after being burnt?
How did you copy the data to be burnt i.e. did you copy from disc to disc or data from hard drive to disc.
Am I correct in assuming you were trying to burn an audio disc?
What format was the audio, MP3 or WAV?
If MP3, are your disc players capable of using this format?
Do your discs play on the computer that created them, using the same drive?
Sorry about all the questions but you did not give much information.
Some general information here regards burning and playing that may be helpful.
http://www.oggfrog.com/howto/cds-wont-play/