The latest version of Window Media Player allows you to make a DVD of your desired files, or you can say that you have an option to burn the data to a DVD.
Insert a blank CD or DVD into your drive.
Launch the Window Media Player.
Click on the "burn" option on the right side.
A new window interface will open.
Select the videos, files, or the music you want to add to the CD or DVD and drag them to the burn list.