.cda is not a music file. It's just a header file which gives information about the track. CD's are recorded in Wav format ( more or less ) but you can't just open a wav, you need to play audio cd's differently. I'm sure most audio libraries ( openAL, Audiere, Bass, FMod, etc ) have the ability to play a music cd, and you can probably tap into WMP's interface and play them that way.
Audio CDs
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