There are two solution:
Solution 1. Add all the video files in one title.
In editing screen, import all the video files you would like to automatically continuous play into the timeline.
Click Next button to burn to DVD.
Solution 2. Set 'End Action' for titles
If the video files are different titles, in Edit Menu screen, Click Customize tab.
Under Interaction -> Disc / Project, set "End action" as 'Play next title.'
In this way when the disc is played, all the titles will be continuously played one by one.