Yeah, same problem here. I could burn it with Premiere 1.5, but not now with CS4.
You can do two things. Open those files with Adobe Encore - directly (I do not recall exact path not home right now), but something like File-Open Sequence with Adobe Encore, or Open with Adobe Encore.
Or you can Export to media and choose MPEG-2 (not MPEG-2 DVD) for video and whatever for Audio. It will create two separate files. MPEG for video and (for example) wav or AC3 for audio. Then Import them to Encore as assets, place them on the timeline...burn DVD.
If you do not have Encore (even though it is Part of Premiere CS4, but you might have just a trial version) - you might import these files to Nero (Pinnacle...) or whatever DVD editing software you have.
If anyone know how to burn it directly to disc from Premiere CS4 it would be great. It is quite time consuming always jump to Encore (through Encoder) especially while you are just testing parts of your DVD and want to see (and hear) these parts on the DVD player.