To answer this question fully I need to differentiate between a 'data CD' and an 'audio CD'.
If you select the 'data CD' option when burning, you can burn MP3 tracks to a CD in just the same way as you can images or documents. There should be an option enabling you to burn a 'multi-session disk', so that you can add further tracks later.
However 'standard' CD players can't read data disks. You can only play them on computers or with CD players that state that they accept MP3 disks. (They tend be more expensive than standard CD players). Further, it's advisable to de-select the 'multi-session' option when burning the final tracks to the disk; that enables it to be 'finalised' (otherwise the disk might not be recognised by devices other than the computer which it was burnt on).
It's likely, however, that you've selected the 'audio CD' option, which enables you to create disks which can be played in any CD player. Such CDs don't actually comprise of separate files (even if there are several tracks on it). The whole disk is made up of one 'finalised' file, to which it's not possible to add further tracks.
So the CD you've burnt must remain a 'one-track CD'. To burn compilations of your music to audio disks, you need to burn the entire compilation at one time.
Chris