Normally, I am using Nero Burning ROM, but I find using express is not too difficult.
If you are using nero express 6, here is the step
1. start the nero express
2. select videos/pictures
3. select video CD
4. click add
5. select the mpge file
6. click add
7. click finish
8. click next
9. edit the menu layout if you wish, or click next
10. select the recorder and writing speed
11. click burn
12. wait.....