The menu "Settings..." opens up a panel where you can set up basic preferences such as the FreeDB server to use for queries or the action to take when CDPlayer exits.
The "General" page shows a text field where you can enter a preferred device for audio CDs. This is equivalent to starting CDPlayer with the argument "Device=<some device>". You also have a set of radio buttons to choose an action to be performed on exiting CDPlayer. The choice is between doing nothing, stopping a currently playing CD, and ejecting the CD.
On the "FreeDB" page you may enter the internet address of your preferred FreeDB server. Clicking the button "Update list" will bring up a list of available servers to choose from. You need a connection to the internet for this.

CDPlayer.app uses the defaults section 'AudioCD' to store a list of devices to check for audio CDs. (Actually, it is AudioCD.bundle, that does this, but this does not really matter.) You can edit this manually by using the 'defaults' programm in your terminal, but there also exists a panel fpr Preferences.app to do this.

This is the configuration panel for audio CD drives.

The list of drives checked for audio CDs.

Enter the name of a drive to be added to the list here.

Press 'Add' to add the drive to the list.

Press 'Delete' to delete the highlighted drive from the list.