1. Have Nero convert mp3's/WMV's to PCM audio on the fly, creating a regular audio CD
2. Create an MP3/WMV audio cd, which will only play on newer players capable of reading an MP3/WMV CD.
As to number 1, you might want to try converting the MP3's/MV's to WAV before burning to CD. The fewer things you try to do at once, the fewer things can go wrong.