You've got to have the right burner. Very few support burning of CD+G.
Most HP, Yamaha and Plextor do though.
Check this FAQ out:
http://www.tricerasoft.com/tyrannosoft/drivelist.html
and this from the CDRWIN (good software for CD+G):
What CDROM devices support CD+G (Karaoke) discs?
To backup CD+G discs, you must have one of the following recorders...
Hewlett Packard 7500 / 8100 / 8200 / 9100 / 9200
Panasonic CW-7501
Plasmon CDR4240
Plextor PX-R412C (must have firmware version 1.07)
Plextor PX-R820T / PX-W4220T / PX-W8220T)
Sony CRX100E / CRX110E / CRX120E / CRX140E / CRX140S
Yamaha All Models