Ok, my friend... It seems you are caught in quite a problematic situation at the moment.
Just before I go on with suggesting any solutions for you I'll need to explain a few things...
Digital audio information (music) is kept on CD's in a format that can't be read by computers because it contains a lot of gibber that isn't really necessary to be seen, it can however be played back when you select to open a CDA file...
It is VERY important to know that a CDA file itself only acts as a pointer to a location on the disc and doesn't actually contain any music. Copying this file to your hard drive will not copy any music, it will only copy a file that attempts to play a track on a CD. CDA files, in essence play a role very similar to Windows shortcuts.
Now since CDA files don't actually contain any audio information you obviously can't convert them... You'll need to go back and get the CD and use Express Rip to rip the audio from a CD to whichever format you'll like.
Feel free to post back here if you need any more help, good luck.