This is one of the biggest problems with the Mac OS: it does not burn multiple sessions well. As the previous poster mentioned, you have to use the application called Disk image (found in your utilities folder) to make an image of a folder containing what you want to burn. Then you have burn that image. When you do this, you will get an option to leave the session open.
Can someone explain it better? Is there an easier way. From what I have heard, it does not get better in Panther.