You will need to purchase either the Apple SuperDrive for $79 or purchase any third party CD/DVD optical drive.
Will also need a copy of iLife 11 to get the iDVD app to convert your iMovies to DVD format.
IDVD is a wonderful piece of software and well worth the low cost of $40. (works with all Mac OS 10.5 and newer.)
I use iMovie 06 and iDVD 11 on a Mac Pro with 2 built-in DVD drives.