Ok, I've done this on a mac but haven't tried it using a PC. There are actually 2 ways of doing this.

Method Number 1:

1) Get 4 movies all in the same format. I don't care if they are DivX's, XviD's, 3ivX's or what—just make sure they are all the same format. For example, if 3 of your movies are DivX's and the last one is XviD, convert the XviD to DivX.

2) Once you have all 4 movies in the same format, add them together. That is, make one giant movie file that has all 4 movies in it (make sure you have sufficient HD space as the ending file should be around 2.8 gigs.

3) Convert the large file to a .vob file (for those of you who don't know what that is, it's a DVD movie file).

4) Use a program (for Mac I use DVD Studio Pro) that will create chapters from your .vob file. Each new chapter should be a different movie. Example:

Your first movie is The Matrix. Chapter 1 is The Matrix.
Your second movie is Spiderman. Chapter 2 is Spiderman.
ect.

5) Create a menu with a chapter section.

6) Use a program to create the .bup files and .ifo files (if you have gotten this far, you know what I'm talking about...)


Method 2 (much easier and somewhat faster I think...)

1) Convert your movie's to .vob files.

2) Use a program to create the .bup and .ifo files.

3) Burn.