You will need to import your short DVDs into a Video Editor and drag them to the timeline. Depending which editor you use you may need to insert breaks for the various scenes.
Having sorted out the order and any other additions you wish to make, you should Save your compilation and Render it for burning. You should either be able to save the prepared video to HDD (for later burning) or burn directly to disc.
The exact process will depend on the software you are using, but the principle will remain the same for all.