My guitar instructor is lending me Cakewalk Pro Audio 8.0 (I have a CD burner), and i have alot of it down, except that it won't playback, while im recording another track. whats the dealio?

I read the instructions, etc, and everything worked for all the other software's i've tried (btw, cakeware is the best), but i thought it was weird how it doesn't play back...any tips?