Your project (.mvy? or mvd) file is a Magix specific format which is not a final video, but rather all the information for creating one eg which part of which original clips, order of images, zooms, titles, and other effects. You need to 'export' your project as a single digital video file. Go to 'File' >> 'Export movie' >> 'Video as...' and pick an appropriate format. Standard DVD's are MPEG (720x576 PAL) though your burning program may accept others and re-encode as it burns.
Note: DVDs also include information for play menus including options for separate chapters. Magix Movie Edit Pro can create these and do the burning as well.