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it's built-in.. just insert the blank DVD, and drag the files you want to burn onto the disk icon in Finder, then click the burn button.
 
You can do this through the Finder.

Finder > File > New Burn Folder.

Then, drag the items you want to burn. When done, you can burn it using Finder > File > Burn or open the Burn Folder and hit the "Burn" button (in 10.5).
 
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