If you put the cd in, then just move a small text file to it in nero for burning, you will be presented with the option to continue multisession, or if it has been finalized, it will be greyed out. They are in the options when you go to burn in nero burning rom. Look through the tabs.
On one of the tabs there is a box to tick which says finalize (no further writing possible). Use this along with the NO MULTISESSION option to close a cd when burning.