Request : Tutorial to burn 4 to 5 movies in a single 4Gb DVD

Can ne1 give me a step-by-step tutorial (including the required softwares for the same) on burning 4 to 5 movies in a single DVD which can be standardised to play in any DVD Player ?

I have files in the following formats :

.dat format
.3gp format
.avi format
.wmv format
.mpeg format
.rm format
.rmvb format &
.mpg format

Please excuse my silly question as I am a newbie in this field and request for some knowledge in this regard.