Gaps are a function of the software that burns CDs. Typically, it is 2 seconds. I don't know which software you are using to burn the CD but check the options - you may be able to change this. Some players have the ability to make the CD sound gapless. I bet your MP3 player and WMP is doing this for you. WMP's option is called crossfading.

No need to convert anything to WAV, the software does that for you when burning a CD. Plenty of burners out there if you search the web. One is http://www.cdburnerxp.se/help/Intro/cdburnerxp which supports gapless burning.

R