Go into Explorer and click on your CD drive with an audio CD in it. The "file names" will be Track01.cda through Trackxx.cda. If you right-click on a track, you can play it automatically by choosing Play from the drop-down menu.

If you double-click on a track, it will play automatically.

Try dragging a track onto your desktop (you can Copy it or create a Shortcut).

Rename this Shortcut to the song's real name. Now, whenever you have the CD in the drive, you can just double-click the shortcut to play it.

You can also drag tracks to your hard drive and put them in your Start Menu, or create a new folder with your favorite CD tracks in it. Just remember, the audio CD needs to be in the drive for these "shortcuts" to play.