suggest you use nero, not nero express, because nero express does not explicitly let you choose session linking. it treats users like idiots and tries outsmart users but often screws things up.
generally when nero express starts, it detects the cd in the burner for any previous sessions, if there are sessions, it links the new one with the last session. but if when it starts there is no disk, and you insert a disk later, it goes with start a new multisession disk ( this is the idiot-user-level-language for "do not link the new session to the last session"). it may give you a warning. if you ignor the warning, session is not linked. basically nero express does the burning the way it wants. you do not have much control. use nero you can control over everything.