Your LW shared folder is found here: C:\Documents and Settings\"your account name"\Shared
Else go to LW's Library window & select either the Saved Files folder or Shared folder & press the Explore button. This will open the folder up for you.

Open you DVD burner program & select Video format & dvd output. Then drag & drop the movie files onto the program interface or select Add & direct it to the location of the movies. For dvd movies it's best to choose minimum speed. How many you can fit onto the one disk will depend. I'm sure you can work that one out.