I've made them with both iDVD and DVDStudio. I assume iDVD is on your Mac. Here are the insturctions from the help menu:
You can set slideshows, autoplay movies (which start to play immediately when a DVD is inserted into a player, before the DVD menu appears), and movies to repeat continuously, or “loop.” This means they begin replaying immediately after they end. If they include audio, the audio also loops.
Looping an autoplay movie is especially useful for creating self-playing presentations, such as those used in tradeshow kiosks. For more information, see Related Topics below.
In map view you can see at a glance which slideshows and movies are set to loop. A circular arrow symbol appears in the bottom-right corner of the icon.
Here are ways to turn looping on or off:
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Double-click a slideshow button on the DVD menu to open the slideshow editor. Click the Settings button (shown below) and select the “Loop slideshow” checkbox.
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Select a slideshow icon in map view, and then press Command-I to open the Slideshow Info window. Select the “Loop Slideshow” checkbox, and then close the window.
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Click a movie or slideshow button on the DVD menu, or a movie, slideshow, or autoplay movie icon in map view, to select it, and then choose Advanced > Loop Movie or Loop Slideshow.
When looping is turned on, a checkmark appears next to the command in the menu. To turn off looping, select it again to remove the checkmark.
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To turn looping off for a background movie on a menu, open the Menu Info window. With your pointer over the menu (but with no buttons or text items selected), press Command-I. Move the Loop Duration slider to zero.