In Nero Burning Rom such a CD is called Mixed Mode CD, in Nero Express - CD Extra (in Clone CD it is called Multimedia Audio CD, but you can only copy CDs with Clone CD).

Multimedia Audio CD was designed to copy multi session Audio CDs. Normally these are Audio CDs with an additional video clip.

Normally the additional video clip(s) are warched on a PC so they can be in a various formats including MPEG-4 AVC (h.264), XVid, DivX, Windows Media.

It is very easy to create such a CD with Nero Burning Rom or Nero Express. I suggest you to read the manual.

If you need further help, don't hesitate to ask.