Usually for creating clips on DVD with menu's NVE is the way to go, so you've chosen the right procedure. The clips your trying to put on DVD what format are they? eg VCD, SVCD, AVI, DIVX, XVID etc..... If your not sure download this:http://www.headbands.com/gspot/download.html It will identify the format, and check you have the correct codecs installed. Normally though NVE is fine with any format, provided the files/clips arent corrupt and have been created correctly. If you didnt have the correct codecs, it would/should tell you.
So with NVE you'd pick- 'create DVD Video' then 'add files', create menus, select your video options,(2 pass/1 pass, HQ/SP, LPCM/MPEG audio) then encode and burn.