Such a CD is called a "CD extra" or an enhanced CD.
You create them by first burning an audiosession without closing the disc.
Next you create a new session with the data on it. (You can only do this is you opted for multi-session burning - Do not close the disc/session after writing the previous audio tracks).
This results in a CD which will play audio when inserted in an normal audio CD player, but which will show data when inserted into a CDROM player. Note that it will not automatically start any program on the CDROM because this is a huge security risk.
Some operating systems (e.g. XP) used to start any programs if an autorun file was present, but then MS has been convinced that the risk was way greater than the potential extra ease of use, and it has been disabled for years now.
As to what software: Software recommendations are off topic, but just about any standard CD writing software will allow this.