.mp3 is a compressed (made smaller) file format...it is cool cuz it allows more somgs to fit on a cd...BUT it wont play on regular cd players like in your car or regular home stereo..you need a computer or, like you said, an mp3 player.
.wav is also a computer only type file but it is not compressed..so it is much larger but should have (theoretically) better quality. Personally mp3 quality is fine for my ears.
.wma is just a windows media player file...just microsofts way of being irritating I guess.
and .cda is "cd audio"..thats what comes on store bought cd's. Of course it'll play in comps, home stereos etc.
This is a cool program that allows you to transform from one file type to others
http://www.cdex.n3.net/
If you use something like Nero or Roxio burning software and you want to record mp3's..then you choose "data" project or data cd....that will leave the mp3's as they are and the cd will hold a LOT of songs.
If you want to play it in a home stereo or car stereo etc you would select "audio" cd...that will make it .wav files or .cda files and usually it "closes" the cd to where you cant add any more songs..so you need to get all the songs together before you start and put em all on at that one time.
JP