To me, it seems like a bug with the CD/DVD player. I remember someone's Hi-Fi system doing something similar after each track ended, giving a "pop" sound like a record player needle hitting a record.
Just in case it's caused by a DC offset at the end of the wave file, i.e. where the sound wave doesn't return to the middle at the end of the wave file, try the following to see if either helps:
- Use an audio editor to do a 1 second fade out at the end.
- Perform #1 and add 2 seconds of silence at the end of the wave file.
Both method should result in the wave returning to the middle at the end, with the second suggestion giving a bit of extra silence in case the player cuts off a second or two before the end. If these two attempts don't help, then unfortunately I don't think there is a way of overcoming the glitch.