Currently Being ModeratedFeb 3, 2012 1:23 PM (in response to jlanier)
You will need DVD software either iDVD or a 3rd party app.
Two ways to go.
Approach the Apple store where you bought your iMac and ask them to give you a copy of the iLife 11 disc.
Tell them you need iDVD. Many others have reported that Apple will come to the party.
Otherwise you will need to buy an iLife 11 disc which contains iDVD and install it on your computer.
You can source these discs on eBay, Amazon or Apple stores.
Another way is to buy 3rd party DVD burning software such as Roxio.
Best, Z.MacBook Pro, Mac OS X (10.7.2), MacBook iPhone 4S iPod Touch