I've been using NVE 3 for about two years and never had this happen.
But to test, I started a simple project with two movie clips.

First step, select Make a DVD

Second step, Add Movies

Once you've added all the movies to the menu, you can rename them by right mouse button clicking on each title and do a lot of other changes.

Then the third step is to start creating the main menu - Screen cap

This is where you can change the background, button styles, button animation, menu automation, add menu sound, Menu titles, enable chapters, etc. The only way I could get the symptom you described was to select 'Do Not Create A Menu'.

I suppose back in step two, you might have merged your movie titles, but that's not likely. To do this requires highlighting all clips and then clicking the merge titles button - Screen Cap

In this case the movies must play in sequence without returning to the menu.

Hope this short answer helps.

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Fav quote - "Experience is whatcha don't get 'till ya don't need it no more."

System - Athlon 1.4GHz, Win98, Hauppauge PVR250 receiver and compressor.
Software -Magix Movie Edit Pro 10, Nero 6 + NeroVision Express, Moho 4.61, PSP 8.1, Bryce, Quicktime 6.52 pro, Goldwave 5, DVD-Lab.
Cameras - Panasonic GS9, Canon ES8400V, Canon EOS D20 and Canon A70