You are trying to use something that has been developed for something else. For example, AllOk Video to DVD Burner is an application that allows you to specify various input video files to transform them for DVD playback. I've checked and it appears that the software doesn't have the possibility to create a DVD menu. You will need something else for that operation. Luckily, there are plenty applications already created that can be used.
You can use AutoPlay Menu Builder to create the menu for your DVD and then burn the contents as necessary: http://autoplay-menu-builder.software.informer.com/