I want thunar to open my cd and not caja.
Can that be changed?
You can set this in caja preferences.
At CD Audio or everywhere else you want to have thunar opened set "Open with other Applications..." and select thunar there.
It doesn’t let me.
It reverts back to do nothing ?
I have data on DVD, NOT audio.
Maybe it gets confused ?
Probably you have to select DVD instead or something else in selection “other media”
Mickey 
Same thing occurs when I select other media.
Do nothing is all it allows me?
It should also have data CDs and DVDs as among the picks.
Oh well.
Could it be a permission issue?
You could set you preferred file manager to thunar.
Mickey 
I already have done that.