Yeah, for audio CDs, you can't just drag the music files over and burn the disc. That creates a data CD, complete with its own file system. Audio players don't understand file systems so you have to specifically burn an audio CD. Windows Media Player can do it and it's free and already on your computer.

Many people in the Windows world seem to hate it, but iTunes is also free and is very easy to use for making audio discs. Like As in Windows Media Player, you can even rip discs in lossless format.