There's a geeky way of doing this.
First, make a zip archive of all the files you want to burn.
Then go to the terminal and enter:
split -b 4000m archive.zip archive
This will split archive.zip (or whatever you name it) into smaller files.
In the example I gave you the files will have 4000 MB each.
Of course you can change the file size to fit your needs.
Now you should be able to see new files like archiveaa, archiveab, etc., so you can burn each file to a different DVD.
Remember that these new files alone don't worth much.
You'll have to merge them in order to get your zip archive back.
To do that go to the terminal again and enter:
cat archiveaa archiveab > archive.zip
I know this isn't a pretty way of doing what you want to do, but I don't know any other way, unless you use some 3rd party software.