OK, try MediaJoin (freeware)
http://www.snapfiles.com/reviews/MediaJoin/mediajoin.html
I'll try that later. I've tried a freeware program called MP3AlbumMaker but it leaves an annoying hiccup between the songs. I also tried setting Audiograbber to analog but it still recorded the tracks individually. I must have been using Cdex.
I think I've figured it out. Using Cdex 1.51 I've use the "extract a section of the CD to wave or compressed audio file" button. Yep that did it.