What it boils down to is you gotta "author" the disc. Chetwood's suggested some ways to do it. Look here for an explanation of what authoring is, available tools, guides, etc.:
Might as well add a suggestion. Since, as you say, you've not done this before, TMPGEnc DVD Author is quite simple. Start a new project. Add MPEG file or DVD video (repeat as desired), create menu, set chapter points and firstplay action and process it.