Might your son have sent the wrong CD? cda file extension indicates an audio file, not a photo. Can you just browse to the CD via Windows Explorer and see what all is on it, without launching an application? You should be able to do that.
If you have Windows XP, you can burn photos do a CD by either method you mentioned. However, Roxio may have some special features for burning photos. If not, just burn them as data files. I have Nero, not Roxio. One of the choices in it for burning is Video/Pictures. I see, in Nero's Help, that that option allows some enhanced features for video or photos. This includes some layout, text, and background options. But, you can simply burn photos as data files if you are not interested such special options.