there are two editions of cool edit. cool edit 2000 and cool edit pro. if it doesn't say pro, it doesn't have multitrack mode, which is what you are asking for. if it is the pro version, there is a button on the top left that looks like a soundwave, you click that and you will be in multitrack mode. from there you simply record-enable a track by pressing "R" to the left of the track, then for each additional track you add you will be able to hear what you already have as you add more.
if you don't have the right version you can obtain it from kazaa, bearshare or any other P2P program.