Since the .VOB files for exmaple are found on a DVD when you explore it, that would mean that you would most probably jsut use NERO or some other software and burn it straight on. That should do the trick. Try using an DVD-RW first to try it out. I am almost certain that it wil work.
Use DVD Shrink to open the files, and see that it is a complete movie. What DVD Shrink will do is analize all the files, then help you cut out what you do not need and then burn the movie to a disk.