You can load your avi's into DVD slideshow GUI and make them a part of the slideshow.
If you want a dvd with menus and such: export from D.S.G. to .gfd format.
Download Gui for dvdauthor and load the .gfd file.
Now you'll have a dvd with a main menu, the entire slideshow as one video, a chapter menu and also a slide/movie pr. menu so you can forward to next slide/movie(motion-menu) by your remote.
If you want a different structure you can change most things in Gui for dvdauthor.
Imgburn can be used for burning directly from G.F.D.
There's a flash tutorial here:
GFDexport.html