What type of file are you attempting to open? You should just be able to use the File -> Open menu item for this... unless it is an unsupported filetype, but then WavePad should have reported a problem. Does anything flash on the screen briefly when you attempt to open one of the audio files? You could try converting them with Switch and see if it's able to read the files.
Just as a side comment: instead of having to burn the entire Harry Potter audio book, you could just invest in an mp3 player and use this
You could probably pick one up for the price of 20 blank CDs...