First, I assume you are not using a RW-CDR. Most CD players don't like those for music.
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I would follow your advice if I could find "Burn Settings." Where is it?
What version of iTunes are you using?
I've always (I think) got the 'settings' dialog every single time I ask it to burn a CD.
The only time I don't get that dialog is if I burn a CD from Finder.