Sounds like your movies are now in dvd-video format. Which means they should be vob files in a Video_TS folder on the disks.
Now you need an authoring program to make menus. I know of a couple of free ones, DVDStyler and GuiforDVDAuthor. Go to www.videohelp.com for more information, and guides to them. DVDStyler is pretty basic, with fewer options. GuiforDVDAuthor is rather intimidating for a newcomer, but has better documentation.
Commercial products like TMPGenc Author, Womble Mpeg Wizard DVD or Ulead Studio 11 should also be able to make menus for you.