Have you taken a look at those discs in Windows Explorer, to see exactly what type of files ended up on them? (Right click the "Start" button and choose "Explore.")
Are you starting with .mp3 files or with .cda or .wav files? (In other words, are you just transferring files, or are you converting & transferring?) If you are starting with .mp3's, were they purchased from a source that uses (or used) Digital Rights Management (DRM), like the iTunes store? If the files are DRM-enabled, you may not be able to burn them properly without some minor hacking, which most people don't know how to get around.
Are you using colored CD's? Some CD players won't read a colored CD. I'd stick with generic silver, just in case.
Back in the day, you also had to worry about id3 tag, bit rates, and some other format settings as you burned, but the MS3's HU is new enough that it should handle most formatting options without a hitch. If it doesn't, then "boo, hiss" on Mazda for doing it half-assed.
There are a lot of free .mp3 converter/burners available out there. I used MusicMatch Jukebox (Now Yahoo Jukebox- boo) for the longest time, but I now usually use my Zune software. If you don't have access to "jukebox" software that comes with an iPod/Zune/etc., I'd probably Google up "free mp3 burner software," or "free CD ripper software," or whatever suits your current needs.
