When you burn a data disc, multi-session is something which allows you to add on more data to the disc later if there is still space available on the disc. The thing about it is that if you want to use multi-sessions later, Nero will burn the disc in a slightly different way so it needs to know if you want to use multi-session or not. That is why that message appears. In your case, it probably doesn't matter. If you selected "Burn Multisession Anyway" the disc would still be readable as normal.
What about that horrible warning message about the disc not being able to be read on some operating systems if you use multi-session then? The problem mentioned only occurs if you add on data to a multi-session disk later. If you just select multi-session mode but don't add on more data, you're not affected. So in your case, it doesn't matter which option you chose, it doesn't make a difference.
In any case, multi-session disks with data added on should not have a problem reading on XP or 2000, contrary to what the message says.