Tomás, a large number of Windows-compatible programs are available to do what you want. They range in capabilities from basic to complex and in price from free to thousands of dollars. However, there isn't much correlation between capabilities and price. Some free ones have nearly all the capabilities of the expensive ones. Asking users which is best can be a like asking guitarists which guitar is best, because they all have pros and cons that various users consider to be more or less important.
There are both automatic and manual methods of breaking a long recording with multiple musical pieces into parts. Some programs can do that automatically based on silent periods between pieces. Users specify how long a period of silence must last and how low the sound level must be to constitute silence. That method could be useful where a music teacher wants to record a series of examples in a single session, or during lessons for individual students, and then have the software quickly break the recording into pieces on a CD without user intervention, but it generally is not useful with live concert recordings or in any professional or semiprofessional application where it is important to carefully determine starting and ending times. Even in making music instruction CD's the automatic method may not work reliably enough, as for example, where it might break a Sevillanas into multiple recordings. Even though manual editing requires user intervention and takes more time, it is the only way to reliably obtain professional results.
Manual music editing works in principle like text editing, where sections of a long text document can be copied and pasted to form smaller documents, and like image editing, where portions of a large image can be copied and pasted to form smaller images. The difference is that sound has to be plotted graphically to enable the copy and paste process. That is done by plotting sound amplitude on the vertical axis against time on the horizontal access of a computer screen chart. Users can then select portions they want to copy and paste to other files using a keyboard or mouse. Selected portions can be played before copying to verify that selections are correct. The process is very simple and easy to do with most programs designed to enable sound-file editing.
To better explain how the process works I loaded a Juan Martin Sevillanas tutorial recording into the Cool Edit Pro program. This is the screen plot of that recording.

- three-sevillanas.png (11.01 KiB) Viewed 283 times
The left side shows Juan talking before he starts playing the guitar. The two breaks between the three sevillanas are short, but easy to see. I selected the center sevillana using the mouse and could have copied and pasted it out to a separate file, just as if it was a block of text in a text document. The top of the image shows the left audio channel. If you scroll the image down you will see the right channel. Normally they are both copied and pasted together in single operations, but the left and right channels can be copied and pasted separately if desired.
The Cool Edit Pro program I used above was a great program in its time, but it was purchased and renamed "Audition" by Adobe years ago. Adobe has purchased many great programs, bloated them with rubbish features, introduced all sorts of security vulnerabilities, and jacked up the price. That is what happened to Cool Edit Pro. I have both it and Audition and prefer Cool Edit Pro even though it is several years older.
Sony's Sound Forge Audio Studio 10 has similar capabilities and is a little less expensive than Audition. Audition is currently US$99. Sound Forge Audio Studio 10, which I also have, is US$64.99. However, there is no need to spend anything, because there are free programs that have plenty of features and work great.
Audacity is one example of many. It is free, easy to use, and very popular, but the last stable version was released in 2006. That version has become somewhat outdated and it can't be used with a 64-bit computer. However, a new beta version that is 64-bit compatible was released December 11, 2011. I have both the old 2006 version and the new beta version installed. Either of them will do what you want to do. The new beta version has new capabilities, but probably also still has a few bugs. You can install either version from here
http://audacity.sourceforge.net/.
Traverso DAW is another free audio editing program. I haven't used it, but it looks good and probably will do what you want. This is a link to the setup program if you would like to give it a try
http://traverso-daw.org/download/binaries/current/windows/.
There are many other alternatives, but one of the two free programs above should do what you want.
-Bob