If you already have a mpeg file on your HDD, to convert it into a DVD to play on a standalone you need a DVD authoring software like TMPGEnc DVD Author. It will convert mpeg files into a compliant DVD disc.
DVD author can create region free discs, so you can play your movies in any standalone. For what I know, all standalones can play regionless discs. The only thing that can cause problems is that some standalones are able to read only PAL movies or NTSC movies, so if you create a PAL movie, be sure that your standalone is able to read it. Most of nowdays players are able to play both NTSC and PAL movies.
My suggestion is to create a complete disc, because adding segments to an already partially burned DVD disc could be problematic. You can save all mpeg files first on your HDD, then load all them into TMPGEnc DVD Author, and then convert all segments into a complete DVD disc. In this way you can also create menus. If you save each segment on a disc, creating menus for all added movies will be impossible.
TMPGEnc DVD Author allows to do also this feature. You can create chapters in any point you like, so to jump into a specific sequence of the show you simply need to select the chapter number on your remote control.