Hi there, welcome to our forum!
You want to create a video DVD. Video DVD's indeed use VOB files for the mediadata.
The easiest way to make a DVD of serveral video's (MPEG, AVI etc) is to make use of a DVD authoring tool. Programs like Intervideo WinDVD creator and TMPEGEnc DVD Author can do the job.
For the best, I'd suggest to download those programs and give them a try!
If you want more info, be sure to ask here, or search our forums for information!