imgburn (& I believe nero) would be more for writing them out to a CD then for converting them.
But I may have been wrong anyway, from what I researched, converting them is more about saving space.
So start by simply making sure the CDA file extension is associated with Windows Media Player...
FROM Techwalla:
Step 1
Click the "Start" button on the Windows 7 taskbar, then click the "Control Panel" tab.
Step 2
Find and click the "Default Programs" link in Control Panel. When the new window opens, click on the "Associate a file type or protocol with a program" option.
Step 3
Wait for Windows to display a list of all known file types on your computer.
Step 4
Scroll down on the list until you find the ".cda" file extension. Highlight the file type by clicking it once.
Step 5
Click on the "Change program..." link in the top left corner of the screen. Wait for Windows to generate a list of programs compatible with the CDA file extension and open a new window.
Step 6
Highlight Windows Media Player in the program list window and click the "OK" button.
Step 7
Click the "Close" button after the list refreshes. Windows Media Player will now be the default player whenever you insert an audio CD into your computer's CD/DVD drive, or when you click on a CDA file in Windows Explorer.
SOURCE:
Techwalla
...that may be all you need to do to make it work.