You need to change them to unicode
OR
You can switch your computer into Korean mode. No you do not need to download anything. Go to Control Panel => Regional Language Options => Advanced tab and in the pull down menu select Korean. This deals with non-unicode stuff.
I've burned plenty of Chinese stuff onto CDs. You just gotta make sure its in Unicode or you turn on support for non-unicode stuff.
You will have troubles reading/copying files on another computer if you burn them in non-unicode, so you will have to switch that computer over to Korean non-unicode support as well to play files.
That's why I reocmmend renaming them to unicode