As indicated here, a solution would be to use the 'File - Add URL' option, and there add cdda:///. But that is a bit cumbersome, so, to have that with a click or two:
In KDE:
Tested in KDE4.
System Settings - Device Actions - Add, and add the command : qmmp cdda:///.

Now, upon inserting an audio CD, one of the Audio CD actions will be the one set above

Also, after adding an icon to the desktop or the panel: right click on it, then 'Properties' (for the desktop icon) or 'Icon settings' (on the panel) and under Application tab change command to qmmp cdda:///

In Xfce:
Create a launcher on the desktop or the panel, and then in the launcher options, change the command to the one specified.
Similar option may be available in other desktops.
A general, all-Linux solution is to create a .desktop file (executing the above command) and run it to start playing the audio cd after it has been inserted.
Something like this (to be added to desktop, panel or menu):
[Desktop Entry]
Categories=AudioVideo;Player;Audio;Qt;
Exec=qmmp cdda:///
Icon=qmmp
Name=Play Audio CD in Qmmp
Type=Application
It is also important to note that to have all needed plugins available, be sure to install the latest version
sudo add-apt-repository ppa:forkotov02/ppa
sudo apt-get update
sudo apt-get install qmmp qmmp-plugin-pack