Go to "burn options" in WMP.
Scroll the list down to "More burn options".
There will be a box to click "burn without gaps".
If you have gaps, more than likely that box is unchecked.
It's as simple as that.
What he said.... When you burn a cd on Itunes it pops up a menu and shows you the options for the cd (right before you hit burn). You can make the spaces between the tracks whatever you want.