Make sure you have CDDA enabled. You can enable this (keep in mind I'm running a Win2K system, your system may be different) by right clicking on any drive under 'My Computer' and going to properties. Then, select your CD-ROM drive, and select the 'properties' button. From there, select the 'properties' tab, and make sure the box is checked that says, 'Enable Digital CD audio for the CD-ROM Device.'
Jeez Microsoft, do you think there's enough 'properties' boxes?