What are you trying to play the CD in? Is it your computer or a CD player?
If you
directly burn MP3 files to a CD you'll end up with a data disc, rather than an audio disc. You'll be able to put that disc into a computer and play the files but the majority of CD players won't recognise it as a valid disc.
CD players expect to receive a CD that actually has a SINGLE file on it (even though that file might actually contain lots of different music tracks), with that file occupying ALL of the space on the disc. The file is actually a CDDA one, rather than an MP3 one.
Fortunately you don't have to be a technical wizard to burn a CD which will work in a CD player. All you need to do is to ensure that you've selected the option to burn an audio disc, rather than a data one. (Remember though that, because an audio disc has a single file on it, occupying all of the available space, you can't burn one track to a disc and then add further tracks later on. If you try to do that your computer will see the disc as 'full' when you try to add the later tracks. So you have to assemble all of the tracks in your album together first and then burn them all to the audio CD at the same time).
You've not said which disc-burning software you're using but this freebie is far better than anything which comes with Windows:
https://www.ashampoo.com/en/usd/pin/7110/burning-software/burning-studio-free
(It's incredibly intuitive. Even I can use it!)