Created in a burger joint on the Bridgehampton-Sag Harbor Turnpike in the spring of 2009, the Jazz Jam Session will celebrate its accomplishments and internationally renowned musical guests at its first CD release party at Bay Street Theatre in Sag Harbor next Thursday. A success by all accounts, Claes Brondal and his core Thursday Night Live Band brought not only business to a roadhouse-style restaurant, but an experience that led to more live music throughout Sag Harbor.