I've been doing this for HOURSSS! How do I burn a disc with a menu to it!!?

I've been doing this for HOURSSS! Is there anyone who can help me!!?

I've been trying to download avi video files for the last hundred thousand gazillion hours! And trying to create a simple menu for it. I thought I got it twice but aaank, nada. I had tried nero, dvd maker, didn't really get me nowhere, as I'm not really great at this field. It would've been A LOOOT easier if I just burned it from Windows Media Player and tada but then when I play it and everything, the files are not in order blah blah blah. Yep, I need help. Something fast, easy and understandable :D I did try the dvd maker thing but i only got vob and some other files that is necessary? But I don't know what to do with it. The disc plays on the computer just fine, in VLC media player but I don't want that cuz it won't play on my DVD PLAAYYYER??? more or less windows media player. I'm going above and beyond here. Thanks for your brains.