wma? thats a windows medi audio files and not video. Did mean wmv? If you want them to play in order just use a numbering scheme to name your files. e.g.
01 - my first file.wmv
02 - my second file.wmv
03 - my third file.wmv.
These will only work on your PC and not a DVD player (unless its wmv compatible). You need to convert them into mpeg and use something like nero to burn them