There are devices out there that support MP3 playback off of CDs. This way, you can load many more songs on to a single disc. (audio CD can only hold 80 minutes of audio, a data CD can hold 700mb of data, which is a lot more)

Some more recent CD players have the capability of playing them back, but it never really took off as a popular format.

In order to make one, you have to burn a data CD with a bunch of special settings. Nero 6 and I'd imagine recent versions of Easy CD Creator have built-in ways of doing it without messing with configuration settings, but for older versions you'll have to check the documentation.