Should play just fine, unless it's one of those funky CDs they made that won't play on computers. Check the booklet or back of the case for any notes.
This the only CD that won't play, have you tried other CDs?
Also try to open Media Player first, then open the disk from there if you are just using the autorun to try to play the disk. If it asks you what to use to play cdfs format, just point it to the Windows Media player program. May help to post the exact error message and when it comes up.