Burning avi file in 2 parts?

I have media in Avi. format which is in 2 parts, (CD 1 and CD2). When I burn these to disc my DVD player will not play the 2nd parts?? What am I doing wrong and is there a way to 'thread' these together? I use and Convert X to DVD and Nero. Sorry for the beginner question but I'm not so good with things like this.....Thanx to all in anticipation :)