When you create an audio cd for playing on a hi-fi or in a car the file is actually a .cda (cd audio) it doesn't really matter what format the original file was in as the software (in this case nero) will convert it to the correct format. Although the better quality file will produce a better quality recording.
Does your cd player actually accept cdr's for playing, not all do?
What disks are you using? cheap crappy ones may not work that well. Try a decent brand of disk.
Is your writer clean?
What speed did you record at? anything more than 8x is not recommended.