I'm going to put the solution for Nero 5, but I hope it is similar in Nero 4, and I hope it helps. When you click the "Burn" button, a dialogue box pops up, and there, you should see a box beside "Create Image File" or something like that.
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There's two ways to do it, both are .nrg. You can go under options and select 'make image', or just do a copy, and hit cancel where you insert the blank. Be sure the option 'delete image after copy' is unchecked.