To check if you are burning an audio cd, put the cd in your computer and check the contents.
If the files on the cd are .cda then that means you have an audio cd regardless of the format (wav,mp3,wma).
The cd does need to be finalized(finished), but wmp 11 does this automatically and there are no options to alter it.
If you find the files are not .cda then you definitely have a data cd (some cd players play them).
So i imagine that your clicking burn audio cd from the auto play feature, but when in starts might be burning a data cd still.
To check this before you burn a cd or even add music to the burn list, select the burn tab at the top of the screen and check that the type of CD to
be created is set to audio CD.
Click on the small down-arrow icon (situated underneath the burn tab) and select audio CD from the menu (default is audio CD).
Do you get any red crosses or blue info icons next to tracks after its finished, one error can cause the cd to not play correctly or at all.
From Windows Media Player help,
It is not usually necessary to adjust the burn speed unless you are having problems burning; in that case reducing the burn speed might correct the
problem. This setting applies to all burners that you use with your computer.
However i agree that if you burn at a lower speed it could make the disk more stable, and player might read it better.
To change it click the arrow below the Burn tab, and then click More Options.
There lots of reason why this can happen, make sure youre drivers are up to date, buy decent cd-r's etc check your cd players manuals also.
Im sure you'll sort it out