Here's what should happen:

After getting into the "Burn disc for DVD Player" dialogue box, you will see that your project requires more disk space than the one DVD (in the information area)  "Used space on media: 14245/4489 MB" as my example.

Click the "Start burn process:" button (the burning disk icon)

You should almost immediately get a new dialogue box which says:

The project requires ca. 14245 MB of free disk space.  The disc space may not be enough.  Would you like to automatically split the project over multiple discs?  If this is the case, the original project will be saved prior to this.

Then you choose "OK" "Ignore" or "Cancel"

Another option is to split the project your self back in Edit mode.  This allows you control over where the movie gets split.  This avoids the probability that your movie will want to change disks right in the middle of a critical scene.

To manually split the movie, put the red time-line marker at the point in your project where you want disk 1 to end.  Under the video screen, you should see the "Split Scene" iton.  Next to it is a down-arrow icon.  Click that down-arrow and choose Split Movie (or just hit Alt+W).  Your project will then get split into two different projects, which can be burned independantly.

Hope that helps,

Tim