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Double click on your new folder. Click on the gear icon at the top of your folder dialog box. Select "Burn Folder Name to Disc. Insert a blank writable DVD into your disc drive. Wait for the disc to start burning automatically or click "Burn. Allow the Mac to burn and finalize the DVD before trying to access it.

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You should see your files listed inside the folder. It may say "Action" underneath the gear icon. .."  " Click on it to attempt playing it, or eject it and play in a DVD player.