Finalize a CD?

I cannot find a button or menu item that finalizes a CD after burning files.
All the CDs I burn still seem to be open (can add more files) but I want a
CD that's locked, finished and frozen. "Close session" does not finalize (for
me, anyway).

Tried various formatting and "Mastered CD" options, but they don't do the
job.

I'm using Vista Home Premium. Please advise.