CD players or DVD players?
If you are simply trying to have it play on other computers then "Saving to
CD", although it is a feature I don't recommend, should do the trick.
If you are trying to save to a DVD and play it on a DVD player then you need
DVD Authoring software (such as Ulead Movie Factory) to do this. I have a
list of some of the more popular programs along with downlinks and some
How-To's on my website.