You need a seperate player. CD players, DVD players, Bluray players and games consoles will all do the job through an AV receiver, but dedicated CD players are still apparently the best. The main function of AV receivers is to convert, process and amplify audio signals to create surround sound, which is ideal for a home cinema set-up. In general, the more you spend on an AV receiver, the better the sound quality for music. However, if you are only interested in listening to music, you are probably better off going for a dedicated stereo amplifier instead.
AV receivers are very useful bits of kit, as they become the "hub" for all your equipment (TV, DVD player, set-top box, games console, media PC, record player etc) and you can switch very easily between all the sources and listen to them in surround sound. Depending on how much you spend, AV receivers can do a lot of other things too, such as upscale DVDs to high definition, connect to your broadband for internet radio, deliver sound to more than one room and you can even have 9 channel surround sound.