James, it's a bug in CEP - if you're not constantly keeping an eye on where things are going, CEP will save stuff all over the place.
Mike's got the right idea - go into Explorer and make a folder for your session in the Cool Edit Directory. You can do this even before you start recording, or after you've finished recording and are ready to save the session.
Then when you've finished recording and click on "Save Session As", and go to the "Save Multitrack Session As" box, make sure that your new folder is in the "Look in" window. Usually it's not there, and you have to hunt it up. Then give the session a name in the "File name" window. Then click on Save.
CEP will then go back to the multitrack view and ask you if you want to save track 1. Click on yes, and you'll get the "Save Waveform As" box. This is where things often go wrong, since CEP usually tries to save the first track in the wrong place. Make sure the "Save in" destination is right, and then name the track. For example, if I call the session blues 1, I call the first track blues 1 track 1. Click on Save.
After that, things go where they should I find. CEP directs the second and subsequent tracks to the right folder.
As for why CEP doesn't have the option of saving the whole bundle of tracks with a single operation - good idea, why don't you suggest it to Syntrillium. They're almost certainly putting together a new and better version of CEP as we talk, and they're sensitive to good suggestions from users. You could try this address:
prosupport@mail.syntrillium.com
Welcome aboard, and good luck.
[This message has been edited by dobro (edited 04-08-2000).]