That is easy, You just need to load the episodes at the same time and convert them to DVD format and then burn it to your DVD, Maybe Xilisoft DVD Creator  is a better choice !
 

Of course it will deal with it seperately, if you want to connect them altoghter you need another tool like Xilisoft Video editor and connect the three episodes and then burn it to your blank DVD disk.
Xilisoft Video Editor is one of the best video editing software which contains the functions of all video edit tools, e.g. Video Joiner, Video Splitter and Video Cutter. With the video editing software, you can super easily and fast join multiple video files together, split one file to several segments, and cut your favorite segments, with excellent quality.

As a Video Joiner, Video Editor provides an easy and complete way to join and combine files of multiple video formats to one. The video editing software supports so comprehensive video formats including AVI, MPEG, MP4, WMV, 3GP, H.264/MPEG-4 AVC, H.264/PSP AVC, MOV, ASF, etc.

As a Video Splitter, Video Editor supports splitting one video file to several segments manually or automatically like magic. If you prefer to split a movie automatically, you can specify the video edit software to split by time, size or split averagely.

As a Video Cutter, Video Editor can assist you to select your favorite segments in one video, and cut out the segments you dislike to meet your needs of perfecting your movies and videos.

Xilisoft Video Editor, the best video edit software, is capable of dealing with so many video editing tasks such as joining videos, splitting a video, and cutting a video effortlessly with the fastest speed and best video editing quality.