Nero DVD does it a treat. AND you can create a slide show and add music from anywhere as background. My last two wedding videos were done this way. It takes AVI, AVI DV or MP2 (& I think Quicktime files and MP1). An I would bet it takes MPEG4 and DIVX if you get the latest version. You can mix the input files and modes. It produces a play list/screen and you can have 4 seconds of video in each icon.

I am sure there are other programs that do it.

But as Micca says it may be simply finalising is needed. My Panasonic PVR asks if I want that when burning from HDD. It enables the choice to add footage (not finalised) or block further burning but allow playing on other machines(ie finalised).

Of course it might be that you have a data DVD with files on. If the PC reports MOV files then finalise. If you see .MP2 or .AVI - get Nero.