If you are using windows live movie maker to make movies, then want to burn the maked movies to DVD. You should:
At first you should save the movies as wmv file on windows live movie maker, not wlmp project file, then you should use the right software to burn the wmv files to video DVD, there is an easy way and the better choice, you can try RZ DVD Creator, it can create/burn standard video DVD from any movies, it can burn long movies into one DVD, it can burn multi movies into one DVD, it can auto fit the size, it can easy add professional dynamic DVD menu, it can convert and burn any movies to DVD(DVD+R, DVD-R, DVD-RW, DVD+RW, DVD-R DL, DVD+R DL, etc), such as avi to DVD, wmv to DVD, etc.
You can yahoo or google search and download "RZ DVD Creator", work well on my computer, easy to use, good quality, most functionality, hope it can help you.
Please note: the windows live movie maker wmv movies use vc-1(wmv3) video codec, so you should upgrade your windows media player to windows media palyer 11, win7 and vista built-in windows media player 11.