I'd guess that it's hardware related, well, kinda
. There's a very tiny little cord that should be plugged between the CD-Rom to the sound card/mother board. That cord is the one responsible for playing audio CD's.
Now, I know that you can play it on Windows. Most likely, the reason for it is because the program you used in Windows allows digital extraction of the audio disk (say, winamp). In Linux, that's also possible, xmms has a plugin for it, so you can play CD's without the need of that cord.
Basically, you either buy that cable, or use xmms. Now, if you do, have that cable already connected, then something spooky has happened
Good luck!