Doing happy dance, well almost...

[MoeNY]

I am totally new to all of this and quiet old and not techno savvy, anyway I read all the posts on how to download music and burn cd's They were really helpful and .......
I DID IT!!!
I'm doing the happy dance .... Brass Monkey, that funky monkey... (That's the song I downloaded and burned)
So I had to push my luck and try it again.
Everything worked fine until I tried to burn the second song onto the CD (I'm using WSindows Media Player). I wanted to add it to the same CD but I got an error message that read:
Insert Media:
Insert a blank CD-R or bland DE-rw in drive E: then try again.

So here's the question - Once you burn a song onto a cd can you add more or do I have to download all the music and put them all onto the cd at the same time?

No sleep 'til ............ I get this thing working.
Any help will be greatly appreciated.