Hi Scarlett,
Try using a program such as Nero for creating audio cds from WMA files.
You can put a wma file onto cd from Windows(using drag and drop) , but the disc will only work in a computer or maybe a modern cd player which can read wma format audio files.
I'm also using Windows Media Player to copy WMA files to CD, and always work on any cd/dvd players ... either those attached to computers or those that play indepently. As long as the CD is finalised, it will work on any CD/DVD players.