If you're using Nero or Roxio's Easy Cd Creator you can change the settings to eliminate the gaps. I have not found this feature in WMP. Below is the instruction that I use in Roxio's
Record in Disc-at-Once (DAO) mode to eliminate the two-second gap between tracks: To prevent a two-second gap from occurring between the music tracks, record your music CD using the Disc-at-Once option. When making the CD, select Disc-at-Once from the Record CD Setup dialog box.