Everything is possible. For this you need some additional software.
I don't have this cam but have you got some software with it?

If not Google little bit. There is much software available for doing this. As far as I know you can do it with Nero7 (nerovision).

One more thing, check if your DVD player plays avi files or MP4 files. You can burn a couple of avi files in a DVD-R as a data disk without conversion and see if it will play in your DVD player. You can also refer to the player's manual to check this. Anyway if it does play avi files, you can now burn all your avi files in a DVD data disk. You can put 5 to 6 avi files with 650 to 700 MB size in a 4.5GB DVD-R. This will be the faster method. When you play this DVD in the player, the menu will be similar as a Windows Explorer File list. You can burn your files this way using Nero Express or Nero Burning Rom or your other burners which you use to burn ordinary files in a DVDR.

If your DVD player does not play avi files, you can use Nero vision to create a DVD video and just keep adding your avi files in the add video window and see how many will fit in your DVDR disk. This is the long method since before burning, Nero Vision will re-encode (convert) all the video files into a nother file which will be played by your DVD player. You can make your own menus here and other options which will resemble menu playback of commercial DVDs. Hope this helps.

Is it really true that I can not play the movie that I have recorded continuously? Even when I connect the Toshiba S20 to the TV, I have to press next for each clip, some of which last for only a few seconds!!!
Surely there must be a way of playing back from the Camera as a continuous movie like every other camcorder that I have used in the past.
Please Help!!!!!!!!!!

This is an appalling and very frustrating problem, which I only found out about after recording hundreds of clips which make up the whole movie on the disc. Now I have to select each one in turn to playback on the TV. It impossible to know what the files are of course and you cant effectively fast foward to find a particular clip.
The only alternative is to copy the files onto the PC and then combine them together.
Unfortunately - apart from Window Live Movie Maker - I can not find any video editing software that can read the AVI files - Neither Sony Vegas, Adobe Premiere or Pinnacle Studio can read both Audio and Video. Does anyone know of any good video editing software that can read them? WLMM is very limited.