Could be a number of reasons for this:

1. Make sure that you have created an Audio CD and NOT a Data CD containing WAV or MP3 files.
2. Make sure that you finalize the disc and don't burn it as multisession. There is usually an option to finalize and also to burn Disc-At-Once. This will write a lead-in, selected audio tracks and a lead-out.
3. Try to buy CD-Rs with as light a dye as possible on the burn-side. Some audio CD players are extremely sensitive and find it very difficult, sometimes impossible, to read a disc with a very dark burn-side dye. Go for pale green to silver and avoid dark greens, blues or black dyes.