What you might be experiencing is something called 'clicking out'. Quoted from the Monroe Institute website:http://www.monroeinstitute.com/content.php?section=Hemi-Sync%20FAQs
There may be times when you "click out" of the exercise,especially as you begin to move up to and beyond your level of experience. Clicking-out is different from falling asleep. There is a sense of having dropped out of the exercise. Upon returning to or finishing the exercise, there is no perception of time having passed. You will have stored the memory of your experience but will have no immediate recall. Clicking-out is a common, frequently reported experience. When you have progressed to a given stage it won't happen and you will have total recall. Meanwhile, try putting the idea or picture of sleep in your Energy Conversion Box. If you are still falling asleep, try sitting up during the exercise. And finally practice, practice, practice! It is through patience and continued practice that you learn to maintain balance in the hypnagogic state between deep relaxation and sleep.
This is something experience overcomes. From my own personal experience, the state of F10 developed from 'Wave I' can be deeper and more profound than what can be experienced before using 'Wave I'. This is due to the binaural beats, the tools given, and guided nature of the CD. This isn't to say people who have never used Wave I can't experience the same state, just that this CD pushes you into F10, where one trying on their own without knowledge of what F10 should be like might be moving between many deeply relaxed states.