I think since they are all in separate files, like on your computer, it shouldn't be a problem to just click on them.
Quick screenshot from my folder. You have the same on your burned DVD so I think you can just click on a film file and that's it.
I owned some pirated compilation on a dvd, with 6 films or more and they were just in form of media player (or whatever player reads your dvd's) format. So just choose a movie and click it.
I am the worst explain-this person ever, so if I typed mysterious gibberish, I'm sorry. Blame summer heat also
Edit: oh snaps, you said DVD player, not computer. Well, then I guess you're right, you can use it in form of skipping chapters.