There is an option to "close the session" or "close the disc". If you're creating a data cd, then it really shouldnt matter if you closed the previous session. Usually, it is fine to create more than one session on data cd's.
However, it is quite possible that you closed the disc, which doesn't allow for additional sessions. Also, if you're making a music cd, you generally only want to have one session if you want it to work in a standalone cd player. Most can only read the first session.