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I burned an MP3 cd for mine today with about 45 songs on it and it works fine. I used Nero and just dumped them on a normal cd just like you would and other files. Also make sure it's not multi session and probably need to close the disc also.
Also make sure the files aren't DRM files, if they are I doubt the radio can play them. You try the cd out in anything thats not a computer besides the car?
Just use nero express and burn in data mode drop everythin in make sure its all in mp3 format and the player should play those fine..I used nero my whole life for mp3 cds havnt failed me yet...maybe it might be your player