Some CD players support CD audio only, others may also supports formats like MP3, AAC, OGG, WMA. It really depends.

When using Nero did you burn a Data CD or an Audio CD? Try to burn an Audio CD. You may use rewritable CD-RW discs for your experiments (only very old CD players don't support them).

If the problem persists, you may try to use DRM removal software to remove copy-protection from Windows Media Player files and then burn them to an Audio CD.