What format is the music video in? Also, if you are trying to burn it so that it reads like a dvd in a dvd player, try getting it converted to a .vob file. I think the file has to be converted either from avi to vob or maybe a divx to vob. With mpeg format I think you can also get that one changed to a vob file. Otherwise my suggestion is to burn the music video into an ISO for dvd but as data, maybe your dvd player will play it, as I know some players do. Mine supports that kinda stuff because it is one I purchased from overseas which allows for different features and encodings.
GryphB is right. Your video files are more likely in AVI format or mpeg, wmv. In order to play them on a DVD in your standalone player, they need to be converted to DVD format(VOB, like mentioned);unless, your player supports AVI or WMV,or mpeg playback. In this case you would burn a data DVD(no need to make an ISO before hand) If you have just a regular player, than here are 2 programs you can use to make your DVD: DVD Flick, which is free(if you download beta version, it has menu creation capabilities) http://beginwithsoftware.com/videoguides/dvd-flick-guide.html or Nero Vision http://www.digital-digest.com/articles/Nero_Vision_4_DVD_Authoring_Guide_page2.html
like mentioned to help yourself you need to add lots more info - i hate guessing, we are all reading you to help but cant with basis wording, standing by.............
I second Cyprus's advice, use DVD Flick, it's free, gives you excellent results and converts, authors and burns by itself. DVD Flick will probably be able to convert your music videos as long as they are in a common format like MP4, WMV, DivX.. I'm guessing they should be, but if they are in some other format you might need to convert them to a compatible format
If you have computer with an RCA output and a 1/8" to RCA for audio, you can burn everyhting on a DVD.