I believe you can burn games which come on 2 or more CDs to 1 DVD. I tried this with Tomb Raider. It didnt asked for second CD while installing.
Secondly, If you want to burn 2 or more movies to a DVD, the process is a bit long. You need to follow these steps:
1. Extract .DAT files from CD using ISObuster (
http://www.isobuster.com/isobusterdownload.php). Save the extracted files with .MPG extension. These files will be compatible for DVD formats.
2. Use a DVD authoring tool to convert above extracted MPEGs in VOB (DVD Format). This will take a lot of time. (Video DVD maker; TMPEG etc.)
3. Write the converted VOB files to DVD using any DVD Video burning tool. Most DVD Authoring tools will do this also.