|I think the you want to burn a multisession disc...|
I'm not sure if the built in windows burner does it or not but what you want is track at once recording that is a feature of most third party burner software. Once the disk fills up there's usually an option to "finalize the disc".
Problems you may encounter...let's say you're filling up a disc in one computer and you take it to another...the other computer's cd/dvd reader may or may not recognize files after track one...each burning session is called a track. So you'll only be able to see files from the first track on the second computer. This happened to me while burning tao (track at once) cds on linux and then coming back to xp on the same computer...
Truth can become lie, but if lies become truth we're in trouble.