Burning a data CD isn't what you want. That just saves the file onto the disc and it isn't playable in stereos, just other computers.
You most likely need to open the music video in a converter of some sort. Audacity is free and will probably work. You then export the video file as an audio file. Mp3 is the best format. Once you've exported the video file as an audio you're free to burn that file to a disc and it will play in your car.
Make sure you burn an audio disc and not a data.
Hope this helps.