How do I play or convert a Compact Digital Audio (CDA) file?

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.