As said Tim, it is not necessary to create an ISO file first, you can burn directly all files. And yes, you need to insert all files on the VIDEO_TS folder, i.e. all .IFO, .BUP. and .VOB files. If you don't insert all files, the video will not play correctly.
Just to be sure that the conversion was done successfully, I suggest to check all files with a video player like PowerDVD (bundled in many DVD burners) or the free VLC player.