The cd-r is not a "music" cd, is that an issue?
The media type doesn't much matter .. in fact the ones that are tagged
as "data" usually have lower media defects. But .. if you're burning
a data as opposed to an audio CD (as has been pointed out) this makes
a big difference. Just make sure you're burning an audio or music
CD. In my experience, the CD reader will just kick out a data
CD because it doesn't have the required track regions and lead-ins.
I had a CDROM drive where the laser alignment was off slightly
and it causedthe drive to create CD's that only it could read. That's
a possibility. If you have access to another computer, it might
be an interesting experiment to take the .wav to another
computer and burn the media there. If it works, then your
problem is rooted with either the burning software or the drive
itself.
As has been noted above, earlier versions of Windows media
player had some big time burning issues .. however, I believe
most of them were addressed in version 10 .. haven't heard
any horror stories since then.
And, if you plan on doing this on a regular basis, you'll probably
want to invest in software which will insure Redbook compliance
and do single pass writes (like CD Architect .. which does quite
a bit of problem detection before you burn).
jeff