Simple, grab a random CD (classical).
Rip the songs with windows media player onto a folder.
Right click on a random piece
There is your file type, encoding etc.
For me it's:
wav
32bit
192kHz
Yeah right! We have a comedian amongst us!

All CD players can read wave files, you don't need to do anything special to it. Just make sure it's 16bit and 44.1kHz and that you're using CD-R and NOT (!!!) CD-RW (cd players for the most part cannot read CD-RW). That's the simple answer.
As far as Windows Media Player goes:
If you use Windows Media Player (WMP) to burn to CD-R, the program will convert the files for you. You may need to have an MP3 plugin on WMP in order to convert files if they're MP3's. Basically if you ripped music from a CD into WMP, it will not generally be in wav format once you've ripped it, but whatever you ripped the files to on WMP (*.wma, *.mp3, etc.) you will be able to burn them back using WMP onto a CD that's readable on CD players. I think WMP converts them to wav and then formats the CD to CDA which is standard.
Simply put, all CD players can read CD-R's with music files in a 16bit, 44.1kHz wave format.