It's probably because they're MIDIs. MIDIs aren't actual recordings, but more like code that tells your computer what to play. A CD player can't read that.
Try converting them to mp3 first, or recording them. I seem to recall that iTunes can convert them straight to mp3.
♪~
Always Happy! Smile! Hello!
I like delicious things
I shoot eye beams at the things I hate and make them explode! (Yay!)
So Happy! Smile! Hello! It's a picnic every day
There's lots of happiness in my pocket
So let's play forever~
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