You can change a disc label only if disc is in multisession, otherwise is not possible.
To do a multisession, simlpy choose
new compilation --> select CD or DVD --> select Multisession --> Insert all file you want on the compilation, and then burn.
To add other data on a multisession disc,
Insert multisession disc on the burner --> select new compilation --> select Continue multisession disc --> Add new files to compilation --> burn
When disc space is near to end, on last session of the disc (see colored bar on bottom), before to start burning, check "Finalize CD (no further writing possible)"