How can I play a Compact Digital Audio (CDA) file using Windows Media or Roxie?
Can I copy this to a new CD or can I convert it to a WMA, MP3 or other file format?
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The CDA is not an mp3 or wma because mp3 or wma contain data (audio).
The CDA is a shortcut to the tracks on the audio disc. It is used by Windows and is essentially an Index as you'd find in a book
If you want to copy them, you need to "rip" the disc.
There are many programs which should convert, such as iTunes but a quick Google will give you a lot of options.
In regards to how to play, that depends on if the path is accesabile. I suspect not, and as such, if you've moved the CDA to a place where it can't access the location of the data/media, then you can't convert anything.
You can put in a CD and play the using WMP.
As pointed out elsewhere, CDA tracks do not contain audio data.
If you still have the CD, Windows Media Player can play CDs directly (without converting files).
Otherwise, Exact Audio Copy is a free program for taking audio off a compact disk. It allows you to convert it into a number of formats. To keep the quality of the track, as well as general compatibility, I would stick with WAV format files. MP3 and WMA make smaller files but discard audio (it often won't sound quite as good, especially if you make custom CDs).
If you want to make MP3 files from your WAV files, this tutorial can show you how to do it with another free program called Audacity.
Free Audio Converter is another solid choice and has roughly the same abilities of both programs listed above (and might be easier to use in some ways).
There are also a number of programs to burn audio CDs, but for simplicity, Window Media Player can make audio CDs from certain sound files such as e.g WAV files.
VLC will do what you need.