thats odd, cda files do not contain any music in them, they are actually links to sectors on a cd, and it is the cd itself which contains all the audio. theres nothing you can do without the cd unfortunately. i suggest you get in contact with whoever you bought it from and find out why they are giving you files in this format, as it seems a very strange format to use for distributing music over the internet.
iTunes is currently the best online music store, but beware that in the majority of cases, you cannot convert ANY music bought from an online music store, because the record companies have pressured the online stores to encrypt the audio so it doesn't convert.