Sounds like you are using Win 7's burning utility via Windows Explorer. Here is your answer, right from Windows 7 Help and Support itself.
Close or finalize a CD or DVD
Before you can use a recordable disc (such as CD-R, DVD-R, DVD+R, DVD-R DL, or DVD+R DL) formatted with the Live File System format in other computers, you need to close the current disc session to prepare the disc for use.
For more information, see Burn a CD or DVD in Windows Explorer.
To stop closing a disc session automatically
The disc session is closed by default when you eject a disc that can be burned in multiple sessions (called multi-session capable discs, such as CD-R, CD-RW, DVD+R, DVD-R, and BD-R discs), as well as for single-session capable discs (such as such DVD-RW, DVD+RW, DVD-RAM, DVD+R DL, DVD-R DL, and BD-RE discs). This is a system level setting that applies to all user accounts on that computer. You must be logged on with a user account that has administrative privileges to change these settings using the steps below.
You can change the close session settings for both multi-session and single-session capable discs by doing the following:
Click to open Computer.
Right-click the disc burner, and then click Properties.
Click the Recording tab, and then click Global Settings. If you're prompted for an administrator password or confirmation, type the password or provide confirmation.
Do one or both of the following in the Global Settings dialog box, and then click OK:
If you don’t want to automatically close the session when you eject a single session-only disc, clear the Single session-only discs are ejected check box.
If you don’t want to automatically close the session when you eject a multi session-capable disc, clear the Multi session-capable discs are ejected check box.
To close a disc session manually
Click to open Computer.
In Windows Explorer, click the disc burner drive, and then click Close session on the toolbar.
The session will be closed, so the disc can be used in other computers.
Notes
After you close a disc session for multi-session capable discs, you can still add more files to the disc, but you must close each additional session to be able to use the disc on another computer. About 20 megabytes (MB) of disc space is used each time you close a session.
If you remove a disc from your burner without closing the disc session, you can close it later on. Just insert it back into your computer's disc burner and follow the steps above to close the session.
Some programs might finalize your disc instead of closing the current session. You can't add any additional files to a disc that has been finalized. When you burn a CD or DVD using Windows Explorer, the disc is not finalized.