Your question can have a couple of answers in addition to the one suggested by Kokkeim which leads to a disc playable on a DVD or BluRay unit, or on your computer -- complete with menus and/or chapters.
In the first instance you should use 'File' >> 'Save as...' to save your project as a .MVD or .MVP file -- which contains the definition of what clips, images, sounds you have used and where you made cuts, transition, titles etc. Then you can do further editing later if you wish eg make a 'Director's Cut'!
You can also do an export only (don't use the 'Burning' options) to create a video file playable on you computer, a media player attached to your TV, or perhaps for use on a mobile device.