How To Burn CD's So It Will Play In Sony DVPS9000?

Yes it will play CDR-W's perfectly. I also have a music cd-R from Maxell that was recorded with the EXACT CD copy software (free on the Net)and I can hear Harry Belafonte loud and clear. I have not used this software myself, so I cannot garantee it will work...but cd-rW's, no problem so far !

Just a comment, why are you turning them into WAV files?
That will NEVER work, except in a computer. (as far as I know)
Also using Nero is ok but I use CLONECD and that will make an exact copy. CLONECD copies will play on every music CD player I have ever tried them on. Look for Elaborate Bytes ELBY in Google or CloneCD will get you there too. I bet you will be able to play them....
ADDED: also, check out the lists of "preferred" burners, some burners do extra things that are like DAO96 (whatever?) and they ARE better. I use LiteOn and it works way better than the TDK I have too.)
And of course: use these features only for making backup copies of things you have purchased...

I have tried many CD-R's (black, silver, blue) burned with two quite different burners and none of them work in my Sony DVPS9000. I've also tried various CD-RW's and they work everytime. As said above, for some reason SONY only included a single frequency laser in the 9000, designed for the pit size of DVD/SACD disks (most players even $200 ones usually have dual frequency). The SONY of course can read pressed (precorded) CD's, but CD-R's which have a lower reflectance are beyond it. I have read a few reports of specific CD-R and burner combinations working, although I've never been able to do it.

I rarely try to use CD-Rs in my S9000ES, but the Fujifilm CD-Rs that I use usually work.

I think it depend on which CD burner you use.

My friend has a 5-disc SONY DVD player and it only accept audio CDs from a CD burner and a DVD burner. It will refuse any other CDRs.