Converting audible.com's download for portable CD player

[media5]

I've joined Audible.com for a free trial and downloaded 2 books. Their file extension is *.aa. When I copy the files to a CD using Nero Ultra 7, the CD plays in my PC's CD-ROM. However, that CD does not play when I put it into a portable CD player.

Audible suggested the problem might be either in the CD media or the optical zone of my CD player. I tried it in another CD player, it doesn't play either.

Someone told me it is the file format -- CD players can only play *.cda and *.mp3(?) formats. And the reason that CD plays in the computer's CD-ROM is because of the software (Windows' Media Player).

Can someone confirm that the file format is, OR at least could be part of, the problem? If yes, is there any free converters out there?

TIA