Quote below from from the CoolUtils website http://www.coolutils.com/Formats/CDACD Audio (.cda) tracks are audio files that can be stored on CD media. The .cda files are representations of CD audio tracks and do not contain the actual pulse code modulation (PCM) information. Cda files can be played only from a CD-ROM. To test a .cda file, either try to play a different .cda file from your CD-ROM or try to play a .cda file from a different CD-ROM. Copied from the CD-ROM to the hard disc it cannot be played. This is format used for encoding music on all commercial compact discs. If you buy a CD from a store, the music on that CD is stored in CDA format.
The current standard for CD audio requires a sampling rate of 44.1 kHz and a sample size of 16 bits (2 bytes per sample). As a result, you need to store 2 x 44,100= 88,200 bytes of data every second to record in mono. Recording in stereo would require twice that much storage. That extrapolates to about 10 MB of data for every minute of stereo sound! It is for this reason that compression schemes such as MP3 are so important.
Unfortunately, your computer can't store files in CDA format, so you still have to convert CDA files to another format to store on your hard disk.
In a way it can be thought of as similar to the Audacity file structure where the .aup file contains only the top level info and points to where the sound files, the .au files, are store - similarly with a CD the .CDA files point to where on the CD your player can find the PCM files which canotain the actual audio.