Nero is good - best burning software, in fact (IMHO!). I don't think Windows Media Player supports cd-text very well, if at all. The Wikipedia article I posted a link to above mentions that you need an extra plugin for WMP to support cd-text... but that plugin just enables reading of cd-text, not reading it.
In fact, a quick Google confirms that
WMP can't burn discs with cd-text, which explains nc30rider's
problem:
By the way, closing your discs is almost always the best thing to do for compatibilty with non-PC devices and players, like car CD players. Discs are pretty darn cheap now on t'internet so I always close my discs and don't bother with multisession. Some players don't like multisession discs even if they're closed, sadly.