MP3 WMA or WAV files which should I use?

My BF uses a program where he creates his own music and it has a MX3 tag on the end. When he is done you can mix them down to a MP3, WMA, or WAV file so that they can be burned and played through Windows Media Player. We are very new to thisand I need to know what is the best way to mix thenm down so they are the most useable or versatile? What is better for playing say in a regular CD player vs maybe a newer on that can play mp3 files? Thanks a bunch!