It's difficult to know how to answer your question without knowing which CD-burning software you're using. Basically, you need to look for an option to 'finalise' the CD. (Consult the help file if necessary).
Remember that, irrespective of whether a CD has been finalised, basic CD players only recognise the CDA file format. If your CD contains files in, say, MP3 format, many CD players won't recognise the disk. (You must convert the files to CDA format before burning them to disk).
Chris