> Is there any sample code to burn, import and continue a multisession Data CD ?
Yes, please have a look at the NeroCMD code. Importing is done in IsoTrack.cpp with NeroImportIsoTrackEx. To continue a multisession disc you just have to import the session you want to continue and add the resulting NERO_ISO_ITEM to the root of your NERO_ISO_ITEM tree.
To burn the disc with the possibility to later continue it, add the flag NBF_CLOSE_SESSION to dwFlags in NeroBurn.
> After burn the first session provide NERO the following Message during import the previous Track "The Track you selected was not created using Nero's multisession option, References to you local files cannot be automatically restored".
The message just indicates that the multisession disc is not written with Nero. This is, because Nero writes additional information on multisession discs which allows it to offer some options like updating files on the disc if the content has changed, etc. NeroAPI does not write this information on the disc. But you can nevertheless continue a multisession disc written with NeroAPI with Nero.