Burn a movie to a cd

can u say how to burn a movie to a cd such that it is playable on any dvd/cd player.
I saw a burned movie cd. I opened the file and saw that there are different folders with the names EXT, MPEGAV, SEGMENT, VCD etc etc. Can u help me out how can i burn the disc and with which software such that when we write the movie on to the disc, menus like this appears.

Please do reply.