Weird thing with gapless audio CDs

I have a question about burning gapless audio CDs.

I had one big MP3 file containing a continuous DJ mix, and I’ve splitted it using the provided CUE file with Medieval CUE Splitter. Not a big deal.

However, when I burn a gapless audio CD from those files, and then play that CD in Winamp, Windows Media Player 10 or my hardwave DVD/DivX/MP3 player (VIVAX DVD-K195), a tiny gap still can be noticed between the tracks.

Next, I’ve tried to decompress those MP3 files to WAV, and burn again. And check this out - same thing with Winamp and hardware player, but when playing in Windows Media Player, the gaps are gone!

Any explanation on this?