You need to do some reading. The menu that you created in the Burn interface is the menu that will be on the DVD when you create it. You don't add anything.
If you want a menu with an export, say to wmv or mp4, that cannot be done. The players of these formats do not recognize menus. Menus are only for DVDs and BDs.
Thank you for that. I have been reading all the information around this. The way you discribed it is exactly how it worked in my older version of Magix Photostory which led me to believe I was doing something wrong as I had no problem with that. However when I send this to burn to DVD it only burns the 'menu' over and over again and not the slidehow. I would be grateful if you could tell me why this is the case.