You say save a wmm file.
Is the extension of the file on the disc by chance .MSWMM ?
If so then that is the problem. MSWMM is a project file not a video file and
hence it will never play on another computer except in Movie Maker and then
only if the source files are on that computer.
You need to instead press CTRL+P or click "Save to my computer" to open the
save movie wizard which will help you create a WMV or DV/AVI file and that,
if burned to a CD, should play on another computer via Media Player.