Hey,
The only time I ever have problems with wav files is if they aren't proper 44.1khz, stereo 16 bit Windows PCM Wav or AIFF files, and I sometimes have to verify this by doing a right-click>properties on them...often I see that they 'magically' turned into 24 or 32 bit files.
It shouldn't matter where the waves came from, be it Cubase or any other software...unless there is a bug in Cubase which is preventing it from writing out the correct information in the file's header.
A way around this is to try to burn the files as a data cd instead of an audio cd, because there aren't the same type of rules that you have to follow. The only drawback to this is that you won't be able to play the cd on a consumer cd player, but at least you'll be able to tell if your burner/software is working.
If you're using XP, it comes with its very own burning software inside Windows Media Player which, in spite of its limitations, had come through like a champ. My guess would be that if the burning from WMP doesn't work, no other software will work either.
Getting a codec without being on the internet? You could write to Microsoft and ask them to send it to you on a floppy or cd, but I'll bet they won't do it. You shouldn't need any special codecs to burn, though, normally codecs are used to open and save out files of different formats, like 24-bit or MP3.
Take care,
Nick