Yeah, I think I may know why (us people with Media Player 9-10 have gotten used to this feature).
All CD Audio is *.cda anyway, regardless of how it looks when you open it from My Computer.
Newer Media Players open these like any other file though and plays them which is why they have the Media Player logo on them.
Yours mustn't have an updated media player, so if you have Windows XP, download Windows Media Player 10, or if you haven't, download Windows Media Player 9 which will have this feature, letting you access them like that
Though, what program do you use then to play media files if Media Player doesn't work? (try the new version),
and also try right clicking the CDA file and going to Open with, and choose the media player you'd normally use, clicking on 'Use this from now on' in the selection box.
I hope this helps