Buy an Ipod.
Or...
Have you enabled digital CD audio for your CD-ROM?
In windows explorer right click on the drive and select properties, select hardware tab, select drive again, select properties, and again! and make sure the box is checked to enable digital cd audio.
Check you have the correct drivers for your sound hardware. If it is built in you may need to fit a sound card as onboard sound systems are usually naff.
There used to be a bus mastering setting on drives, called DMA, which usually had to be enabled but it seems to have disappeared on my system!
Also, are you reading off rewritable cds? Does it skip if you are reading off the hard disk? Just a thought, your CD drive may not like the brand of discs you are using. Mine absolutely refused to play re-writable discs even though they were supposed to be compatible. Also, I think some cd drives get so hot they inadvertantly 'format' writable discs!
CD drives are weird things, mine , for example, won't read after I've connected to the internet - I have to reboot to reset it everytime I've been on the net! Never have figured that one out.
Hope you get it sorted.