No, they have to be burned as Audio-CD.
Winamp can do it, as well as Nero.
They have to be decoded but wav files burnt on a CD-ROM can't be read by normal CD players either.
If you want to copy CDs you shouldn't use mp3, it will always lead to loss in quality. Rip to uncompressed wav or to a lossless format (like flac: encoder
for ripping with Winamp, input plugin
(needed to burn as well)), if you want 1000% exact copies use EAC
to rip a CD Image (IMG button) and burn a copy using the WRI button (setting up EAC can be a bit difficult but there are a lot of online tutorials).