Yep but if you download songs onto your computer, and put them onto an audio cd, what youve made is an proper audio cd and any cd player will be able to read it, even though you made it with downloaded mp3s or whatever
what happenes is when you burn the cd, you computer converts the mp3's etc into the format that audio cds use. The new cd you made, now conforms to the redbook standard, and thus can be played in any cd player.
Screen shot from itunes shows the options to create an Audio CD, which will play in the car, and a mp3 cd which wont. The same applied to WMA and all other formats
However as can be seen above there is the option to make what are know as data or mp3 cds, where the mp3's are put on the cd in their mp3 format, so they only take up a few megs on space, now a cd is usualy 700megs so you can get tonnes of mp3s on a cd. However most cd players cant read these unless specifically stated.
While both types of cd where made with the same mp3 files, they output is very different.
So what Daymo has said is completly correct, the CD changer will only play standard CD's but it doesnt matter if they're bought in a
shop, copied, or made from music allready on your computer, if it plays in a normal cd player, it'll play in ur car.