Back in the time when I was using a Mitsumi CR-4802TE with WinOnCD 3.6 and later 3.7, I know that it was possible to create "multisession" audio CDs by telling WoCD not to finalize the disc and to write in TAO mode. The program then passed the data to the writer, but no lead-in and lead-out was written - you could also see a gap at the beginning of the disc where usually the TOC is stored. Later, you could add additional tracks and when you filled the disc, you were able to finalize. While the disc was not finalized, no usual CD player or CD-ROM device was able to recognize the disc. However, some stereo systems (by Aiwa IIRC) were able to play these NF discs, but had limited functionality (I guess you couldn't skip tracks).
Now, does anyone have an idea how to make such a disc now? I tried Nero, but although I told it not to finalize the audio CD, the disc has a TOC and after adding another session, the CD players were still able to see only the first one.

Burrrn has the option to not close CDs and make a multisession disk.

I think you want multitrack Audio CD, not multisession. Audio CD players will always read only the first session of a CD. To create appendable CD you need to find an application and a CD recorder that will:
- write in Track-at-Once mode
- allow not to finalize a session (not a disc)
Then you will write all the tracks in TAO mode with 'do not close the session' (or the like). Probably some old-fashioned (like Feurio or CDRWIN) applications can do this.

You'd better pre-record all your tracks to HDD, and then burn them in DAO mode.

Edit. He-he, track-at-once, not track-in-once.

Digga, Burrrn did the same thing Nero did - guess because of what Egor said.

Egor, I will have a look at Feurio, but I was hoping to be able to do that with a freeware application or at least one that I have a license for.

I remember doing such discs with EAC.