A .cda file is a CD Audio Track. These are found on audio CDs that can be played in standalone CD players or CD-ROM drives. It is also possible (if no copy protection is present) to rip CDA to MP3 and other lossy or lossless audio formats.
Exact Audio Copy is one of the best rippers for audio CDs available.
Related software tools
Nero Burning ROM (Shareware)
Nero is the best and most complete DVDR / CDR / Blu-ray all-in-one software