Hi RandomGamer. Burning the game to CD-R isn't supported, so I can't help you with using any burning software.
But generally speaking, the most common reasons that CD music doesn't play are:
1. The ISO file was opened instead of the CUE file - the CUE file needs to be used to play CD music.
2. Not everything was extracted from the ZIP archive - the CUE file needs all the files from the ZIP archive. It won't work properly if there are files missing.
3. The CUE file is corrupt or has been modified.

