I've had trouble in the past when playing Audio CD's that are copy
protected. Check the label on the back of the CD to see if it carries
some kind of copy protection logo.
I don't think that there is much you can do about this (apart from
asking for your money back on the CD - if it doesn't work in your
player then they shouldn't have a problem with you returning it).
Incedentially, copy protected CD's seem to play fine with my older CD
drive - probably because it was manufactured before copy protection
was brought in. If you can get your hands on an old drive (4 or 5
years old), then it may work.
It's all a bit of a lottery though...
Hope this helps,