1st you need an understanding about p2p. p2p does not involve a central server so no files are stored at this site. The files you'e downlding are from people like you & me! You might have downloaded your files from your next door neighbour.

When burning an audio cd, you can only burn a single session. Otherwise the later sessions won't be recognised. If you're burning a data disk for backup purposes then that's different.

Normally you would wait until you have all the songs you want for the cd & then burn it!