Your post doesn’t say what kind of video files you have, so I can’t really give you a complete answer.
Your movie was designed to burn to two cdr discs (prob would not fit on one).
You can convert them to a different format, but I suggest you just watch them in two parts, as it was encoded to do.
If you want movies that are encoded to fit on one disc, then try KVCD, as they will give the same picture quality as many 2 or 3 disc video cd formats, but very highly compressed to fit on one disc.
If however these are highly compressed video like divx, xvid (I have no idea since you din’t mention), then you can copy both to one dvdr disc, and if your dvd player supports that format, it will play them in order (with possibly a couple seconds delay between videos, depends on the player). Of course joining them into one piece is possible, but this is not something for an amature to do, unless you know how to fix audio snyc problems that are sure to arise.
if they are divx, divx has a converter that you can download that has the option to combine files of the same framerate into one file. it works extremely well and therehas never been a sync problem all the times that i have used it.