burning project

I have a song with 5 tracks plus a video. I can load them all at once with one file name. However, when I try to burn a CD or DVD, the files and video all appear separately, so I can only burn one track at a time. Any one know how I can burn this project so I can play it as a DVD in the computer, or at least the song with the five parts playing sumulatenously as I have written it.
jai