Tracks that play continuously in Windows Media PLayer don't do so on custom CDs.

Windows Media Player puts two-second "spacers" between tracks on CDs that it burns, and you don't have the option of eliminating these spacers.
Tracks that are intended to be played continuously thus will be discontinuous when copied to a CD. To eliminate the gaps, use a third-party CD-burning program or install the Nero Fast CD-Burning Plug-in, available from the Windows Media Web site. If you burn CDs with spaces and play them back in Windows Media Player, you can configure the player to use crossfading, which gradually overlaps the end of one track with the beginning of the next on playback. We suggest that you experiment to see if this option is acceptable. Choose Enhancements from the View menu and then click Crossfading And Auto Volume Leveling.
In the Enhancement pane, click Turn On Cross fading and specify how much of an overlap you want.

Taken From Microsoft Windows XP  Inside Out 2nd Edition

Written by Ed Bott Award-winning computer journalist.

Carl Siechert Windows documentation expert.

Craig Stinson, Contributing Editor, PC Magazine.