Since Hard Drives have gotten so big, I have ripped all my Music CD's to the Computer in the wav format. I now just use mp3's for small portable music players. I make compilation music CD's from those wav files all the time with Nero.
Nero website has a FAQ that says, that Nero doesn't accept WAV files with markers inside the file, so that may be the problem you are having.
I never had this problem since I ripped my Audio CD's with software that may not leave these markers.
So you might try ripping your wav file with other Ripping software, or try Winamp to burn your current wav files.
Winamp is a good alternative to try, but it is not very intuitive software for Burning Music CD's. The Winamp web site has some good tutorias on how to burn Music Cd's though.