Ok, to author a DVD, you need to do a bit more then just drag and drop an mpeg2 file onto the disc.
you have a few options -
Option 1) Get Burn to make simplistic playable DVDs, for easiest use, I believe you'll want to export to a quicktime movie to drop the files into burn to author a disc
Option 2) Take a .mov file that you exported from FCP and launch iDVD and create a project and drop that video file into that project. It will create a more advanced DVD then burn.
Option 3) You will want to learn how to use DVDStudio Pro. You'll need to take your master export video (usually a quicktime .mov, not mpeg at this point), run it through compressor to create your video file (mpeg2) and an audio file (ac3) - there are presets in compressor to do that.
Then you will have both a video and audio file, with that you will want to go into DVD Studio Pro, create a new project and import the assets into that project and either create a menu for it or set the video tracks to play on insert. DVD Studio Pro is the most powerful of the 3 options, but also the most complicated.