A .bak file is a Cubase backup file. It is basically the same a a Cubase Project (.cpr) file. Anyway it is not an audio file and Windows Media Player (nor any audio player) would not be able to play it.
When you exported the audio it should have created a .wav or .mp3 (depending on the extract settings) file. I’d guess you have files named SongTitle.cpr, SongTitle.bak and SongTitle.mp3 and are inadvertently trying to play the wrong one.