Wizard is talking about playing the burned CD on things like car stereo systems, boom boxes, dvd players.
Or on anything other than the drive/rig it was burned on. If it is saved as data, odds are, the only way it will play is by copying the content back onto the Mac for playback. If burned as a Audio CD, it can be played directly. If using WMP click on the small arrow under Burn. From its dropdown menu, select Audio CD, not Data. Add the files to a playlist and you are all set to burn when ready. When it finishes, it will say Finalizing Disc. Done. Should play on anything that will play Audio CD's (.cda files)
If they want to save the music on the Mac from the disc, just rip it as mp3's again. and save.