As I stated, I don't use Nero. You can try CDBurnerXP, http://cdburnerxp.se/en/home, it's freeware. All you really want to do is create a multi-session CD. Burn your audio tracks as you normally would, close the session but don't finalize the disk. Next add your video file and burn it, close the session and then finalize the disk. This is from their website:
Mixed mode disc
A mixed mode disc is one of the disc types known as Enhanced CD/CD Extra/CD Plus. A mixed mode disc contains both audio (for usual audio players) and data (readable for other devices, like PCs).
To create a mixed mode disc, start a new audio compilation and burn your audio tracks to disc. If you are asked how to burn the disc, choose Let me choose advanced settings. In the burn settings dialog, make sure that Finalize disc is unchecked and Track at Once / Pause between tracks is selected. Then start the burning process.
After that, start a new data compilation. Add all the data you need to the layout, and open the burn settings dialog (press the burn button in any of the toolbars). Again, if you are asked for the type of disc, choose Advanced settings. In the burn settings dialog, make sure that Finalize disc is checked, and Session at Once selected. Start the burning process.
Now you should end up with a CD that contains both audio and files.