Burned CD's ALWAYS skip

I recently got a new computer and high speed access so I
could legally download music and burn CDs but have run
into a problem...

I got some files from Wal-mart and since they have some
type of a licensing file I have not been able to burn them
on any player other than Windows Media. However, when I
put together 2 or 3 playlists and burn the CDs I have
found that almost every CD skips (I am using Sony blank
CDs)...I think (not sure) that the first one I burn
doesn't skip, but the next 2 do...they not only skip, but
there is usually one track that is blank and the player
just sticks there - only moves if I manually click to the
next track. Is there something I am doing incorrectly or
could do to fix this? Also, is there anyway to make a CD
with both songs from Wal-mart and from Itunes?

Thx,

Jeanie