EAC and CDRWin can do that, with the "cuesheet".
Feurio must be able to do it too, though I don't know how it works.
EAC is cardware (unlimited free, send a postcard), Feurio is unlimited shareware (pay to remove the welcome screen).
EDIT : by the way, for burning, download EAC beta 2 (NT, 2k, XP), or EAC 0.9 prebeta 11 (Win95, 98, 98SE, Me).
Other assotiations are buggy.