CD files are a different format that is not accepted by most DVD
players, but some newer ones can play many different formats.
What to do, what to do?
If you have a DVD burner then burning to DVD is the answer. Given the
fact that MM2 won't write to anything except disc or CD, you need other
software like SONIC to burn a DVD disc.
If you can only burn CDs you may need to shop for a DVD player that can
handle CD movies too.