How to play WMA songs on a DVD or CD player
"Is it possible to play WMA songs on a regular DVD or CD player?"
If your DVD or CD player includes WMA playback support (which many do, along with MP3 playback) you can simply burn a disk of WMA files using the burn feature of Windows Media Player to create a data CD or DVD. Often the player will list this as a feature on one of the many stickers they slap on the front of the hardware. If you removed the stickers, you might need to consult your model's documentation. This typically means you can fill the disks data capacity with songs, which can be many hours of music.
In cases where your DVD player or CD player doesn't include WMA support, you'd need to burn an audio CD from your WMA library. The downside to this is you're limited to the 72 minute maximum of audio CDs.
Unless you purchased WMA tracks that came with a restriction on burning them to disk, either method should get you the desired result of being able to play the tracks in a CD or DVD player.