It seems that you haven't pressed the "Next" button to proceed. The program will build the menus. In this first screenshot we have 2 "Titles", or Slideshows. You would stay in this
Step until you have completed adding slideshows or video clips. You then press the
Next button located at the lower right.
This takes you to the 2nd Step, which is constructing your DVD menus. On the left are the
Templates used to build these menus. There is a drop-down arrow at the top where you can access all the different styles of menus. There should be Smartscene, Text-Only, Thumbnail, and Favorites. Note: you will not have anything under the Favorites category, unless you add them.


Then at the top you can click on the
Edit Tab to access it. Here you have numerous options to customize your Menus.
You might also want to have a look at Steve's tutorial on
Authoring a DVD, which is just a part of the total tutorial,
From Camcorder to DVD with VS. The authoring of a DVD in VS is much the same as that in MovieFactory.