Creating a DVD from a Training CD

Newbie here…

I bought a training course with videos on it that is on a CD and can only be played on a PC. Windows Media Player is able to play the CD and I can go through the courses via mouse clicks. I have attached some pics of the entire contents of the CD.

I would like to convert or burn this into a DVD and be able to play it on my DVD. If this is not possible then I don’t mind burning just the .wmv files into DVD. However, when I tried doing it using Roxio DVD Creator for some reason it is telling me that I need over 10 DVDs (or something) to burn the entire videos. I know it can’t be the file size so I am guessing maybe DVDs have a limit to how long the videos are that you can burn??? The videos on this CD takes several hours so I tried burning just a couple of the .wmv files into DVD. Hence, it won’t play on my DVD player. =(

Are there any apps, tools, converters, or things I can do so I can watch them on a regular DVD player?