Do you mean burn to a DVD with a menu selection? Or export to a file, like MP4, WMV, AVI?

For multiple movies that will go on a DVD, read the entire Quick Start part of the manual. Instructions are towards the end and elsewhere. You can also search the forum and Q&A part, because I think that we have answered this. You can also look at the tutorials for Movie Edit Pro - same process.

Here is one answer that can help guide you. Here is a tutorial for MEP.

If you want menus in exported files, it can't be done.