Before you burn to CD, ot use the 'Test Proj.' button you need to create your project by pressing the 'Create' button. This will update your project files and copy the AutoRun files to your project folder.
Using the 'Save Project' option from the Actionsmenu will only update the minimum of your project files (allowing you to save more quickly).
As always, when it comes time to burn your CD, make sure to burn the contents of the project folder to CD and not the project folder itself.