Honestly, I don't think there is a way to do that I could be wrong but afaik, CD players expect the first session to be music and I'm not sure how a dvd player would react to a multisession cd. Basically, DVD players expect one thing and CD Player expect another.
Here are my suggestions for solutions for you:
1) Make a multisession CD that the first session is your music and the second is data containing your video files and have it play on a computer. If it's small enough, you might *try* to make the second session a vcd, but I highly doubt it would work in a dvd player (chances are the dvd player would just play the music tracks). This is usually how some store CD's contain both the audio content and cdrom data content for you to use on your computer. If you search for "multisession cd" or "cd extra" on google, you should find plenty of info.
2) Make a DVD that has your songs and music video and use a menu to link to them - the flaw is anyone wanting to listen to your music will require a dvd player to hear it.
3) Get a dual disc jewel case (or dual disc sleeve) and put your project on two separate discs - one for the music, the other for the video. You can create a VCD, but not every DVD player supports VCD cds so you'd be better off having a CD of the music and DVD-R of the video.
My humble opinions, take or leave, doesn't bother me