If your trying to fit an entire movie on a 4gb disc, its prolly not gonna work. ANY extras on a movie will put it over the 4gb limit. You'll need to get a program called DVD shrink, which takes your ripped DVD's and compresses them to fit on a smaller disc. You lose some quality, but, it shouldn't be that big of a difference. If you are having trouble ripping discs, theres whole other sets of programs you need. I'm just assuming you already have Audio and Video_TS?
If you have a Mac, get Mac the Ripper and Roxio Toast. Blam, your done.
I don't think its like a CD, which you can leave closed or un-closed. Just add the other videos you want to the project...I'm not too familiar with WMM, so, I just assume thats how it would work.