Can you be more specific than "it doesn't work"? If you can play the files on Real Player, then you should be able to burn an audio CD using it or using Roxio. You might want to make sure you have the latest version of the software you are trying to use. I have RealOne Player version 2.0 and Roxio Easy CD Creator version 5.3.4.21 SP8. You cand find what version you have by using the "Help" menu and selecting "About <the program>" which is usually at the bottom of the Help menu.
Assuming you have a recent version, can you describe what steps you are following? For example, on Roxio, you should use the "File" menu to select "New CD Project" and "Music CD". Then you find the files you want to burn in the top window, select them, and click on "Add" to put them into the bottom window, being careful not to add more than 74 or 80 minutes worth of music (depending on size of blank CD that you have). Then click the record button and make sure the pop-up window contains something like "The selected recording method finalizes both the session and the CD".
If that doesn't work, does it fail during selection of the files, during the burning process, or when you try to play the CD in your CD player? If you get a specific error message, what is it? You mentioned an "unrecognized format" message in your first post. At what point did you get that message?