Nero 6 Audio multi session

How can I create compilation cd’s using Nero 6?
I had assumed (as with other software) that you use the multisession option but Nero will not allow that mode with the audio copy option.
Can anyone enlighten me?

CD players can only read the 1st session of audio data.
http://www.feurio.com/English/faq/faq_vocable_session.shtml

Many thanks for the speedy response.
Just to clarify my position: I used to use Roxio to burn compilation cd’s without any problem using the same Sony DRU 510 DVD burner that I am currently using. The software allowed me to keep the session open until the last track was burned at which point I would close it.
I then had a compilation of my cd collection for use in a multi-room set-up.
I therefore assume that my problem is a software issue and that Nero does not support mult-session whereas Roxio does.
Any further comments re Nero would be much appreciated
Thanks