WMA can get the hell out of here. I wanted to burn a CD with tracks taken from my other CDs and it would only accept MP3s, and rejected WMAs.
Uhm, you may wish to direct your anger towards the CD burning software that you are using, instead of the format that you're trying to use.
Sure WMA sucks, but the authors of the CD burning software really shouldn't be dictating what formats you can use.
Of course, if you were trying to make an actual audio CD that plays in standard CD players, as opposed to a CD containing just WMA tracks for playing on a computer, that would kinda explain it.