It depends on the version of your operating system. XP doesn't have any integrated DVD burning software (only cd burning software), so XP's Movie Maker cannot burn dvd's (I really shouldn't say "cannot", if you have nero, roxio, or another dvd burning program, you can go through a bunch of settings and regedits to enable xp's mm to burn discs, but it's really much more trouble then it's worth). Vista on the other hand does, so it's MM can do dvds.
You can always make/edit your movie in MM, then save it to the computer, then use a program like
dvdflick to burn it onto a DVD.