file extensions are automatically changed from .wav or .mp3 to .cda files.
That's what's supposed to happen when you burn an audio CD.
Read a commercially produced audio CD with your media player (e.g., Windows Media Player) and you'll see a list of .cda files, although there is actually no such thing as a .cda file. What you are seeing is an index of the music on the the CD. An audio CD is actually one continuous recording.
If you want to maintain the files as .wav or .mp3 you can burn a data CD. Keep in mind that a data CD won't play in an audio player.