In cool edit pro, you need to get into multi-track mode. To do that (sorry if you know this) just click on the rectangular button in the upper left corner. One in multitrack view, you will see four tracks, but there are 64 tracks available. You can then select the input and output device for each track by clicking on the small buttons with a 1 on them. Select the approprite input devices, etc. Then arm the tracks by pressing the R button (red one) by the track. Hit the record button and lay it down. Then, disarm (push the R button again) the track. Then arm the next track, and you when you hit record you will be able to hear track 1 and record on track two. I hope I answered your question and didn't just fill your head with stuff you already knew. Anymore questions, I use CEP all the time.
MIKE