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You can also press "Control" and "Enter" below your track pad. You may also be able to select "New Burn Folder" on some computers. Drag movies, files and other data into the new folder. If you want to rip a movie from a DVD and burn it onto a new DVD, you will need a DVD ripping program. Although these are not available in licensed Mac software, you can download free programs like Mac the Ripper, to duplicate content.

Summary:
Return to your desktop. Right click your mouse on some empty space. Select "New Folder" from the list of options. Name the new folder while it is highlighted.