The previous helper has given good advice. When you ask for help, always specify your operating sytem plus some details of your hardware. It will eliminate some of the guesswork that is involved in answering queries.
I find that Windows Media Player is good for playing audio CDs but not much else. Beg borrow or st**l a copy of Nero if you can. Version 6.6 is my confirmed choice for XP, but check the later versions if you are running Vista or Windows 7.
Sorry if this sounds very basic, but some of my customers have had your same problem - easily fixed when I replaced their CD or DVD player with a new burner! And although it is quite possible to add files to a disc that has been previously burned (multisession), in your case I would go for brand new blank CDs.
I hope this helps.
Lyall P
June 2010