I know where you are coming from.
When I first started recording and mixing with my computer my mixes would sound fine to me while I was doing it but when I exported and burned it to CD it was considerably quieter compared to a commercial CD. Next time you do a mix, keep a commercial CD handy set at normal volume and then A/B back and forth between your mix and the CD. This just gives you a good reference to keep in mind.
Make sure your master level in your mix window is going as loud as it can without peaking ever. To help you get an overall louder mix you can put a limiter on your master fader. This will give you better control of instruments that love to spike above and keep you from really pushing your levels. Try some light compression on some instruments too to keep things manageable. Be careful not to overdo it though. You don't want to squish it too much and lose your dynamics.
Another thing that will help you immensely is a mastering program like T-racks 24 or the Ozone plugin. No matter how much I squeeze and push my signal in Cakewalk, I can never get it as loud as T-racks can. Just export your song to a wav file and work with it in T-racks. This should help you get you a louder song.