first time burning to a dvd with adobe premiere pro cs5...help!

[m.lomibao]

hi,
its my first time burning to a dvd with adobe premiere cs5, and so far no luck.
with cs5, i select: File, Export, Media: then on the export settings, i just select MPEG2-DVD, presets: Match Source Attributes to the highest quality and Use maximun render quality. And EXPORT, but for some reason, it doesnt burn straight to the dvd but it saves it to my computer in different files instead.......am i doing something wrong here?
If anybody can help me out, please show me how to do it step by step...as im just a first timer with adobe cs5 n this is my first project for a client...

many thanks