You possibly don't have an analogue audio cable from your CD player to your soundcard.
Windows Media Player uses Digital Audio Extraction, which means that you don't need the audio cable. You can get a plugin for xmms called cdread (I think) that enablex xmms to do Digital Audio Extraction. http://www.xmms.org.
Once it is installed, simply select Play CD from the XMMS menu.
As far as I know, the other CD players such as KCD need the Audio cable installed.
I hope this helps