How to make a DVD with more than 1 file

I have some avi and mpeg clips and would like to knoe how to make a DVD with all this file.

What tools should I use ?

Is it possible to create a menu to access directly to these files ?

The AVI’s must first be converted to MPG. The local tutorials are full of tools for that.
Once you have a collection of MPG files, try TMPGEnc-Author or any of the authoring tools, like NeroVision. TMPGEnc-Author does a great job, and can create custom menus too. You can set the separate programs up as one track with chapters, or multiple tracks.