I want to know if there's a free software available on the internet
which allows me to convert mp3 format files to audio format (cda)
format ? If yes, please send me the link from where I can download such software.

see http://www.unrelatedinventions.com/Audiotools/Help/.cdafiles.htm
.cda isn't an audio file format.  It's a shortcut to a location on a
CD.  The actual audio data is in .wav format.  If you would like to
create an audio CD using mp3 files (and thus creating .cda files) use
Ahead Nero, Roxio CD Creator, or another similar software.  Is that
what you're trying to do?

Hi hybridmonkey, 
    I have a set of mp3 files and I have an audio cd player. I want to
play the mp3 files in the audio cd player, but since the audio cd
player does not supports audio formats, I need to convert mp3 to .cda
file, so that my audio cd player can play it.
  You have got my problem definition correctly. 
I want a software (freely on the internet) which can perform this conversion. 
Regards,
Nishant

Use the "burn" feature in Windows Media Player. It will take care of
everything, all you need to do is drag the mp3 files over.