The best option for doing all of this is to use a computer. If you own a PC, you'll most likely need to install a proper video interface card and buy or download software. A Mac already has everything to do all of this. Basically you download material to a computer using proper software that will recognize the camera and the connection. Typically the software allows you to combine photos and video, edit, add music, transitions and titles, then burn a DVD. For video, forget a CD. A CD doesn't have the ability to play a full-screen movie on a TV. It's only good for playing a small WMP or Quicktime movie that's appropriate for computer viewing. But a CD will play photos full-screen if you use a DVD player that recognizes JPEG images. Simply drag all you photos to a blank CD then burn.

The other option for your movie portion is to buy a tabletop DVD burner to which you can plug-in your video camera and burn a DVD directly. There are limitations and requirements.

You should wander over to the "Camcorder" forum here on CNET. This is discussed often there.