Use Nero Vision if you have Nero Suite software.
Open up Nero Vision, choose "make DVD video," then "add video files," then fiddle around with your menus and stuff.
And then burn.
Any program that does this has to recode the .avi or .mpg video files you have as DVD video files (.VOB) and then burn them on the disc. That takes a while.
Download Nero 7 Ultra edition from somewhere if you don't have it.