Basic steps would be:
1. Take a video using the phone's camera.
2. Connect the phone to your computer via USB.
3. Use Windows Explorer to look in the /DCIM/Camera/ folder to find the video files.
4. Drag and drop the video files to your computer's hard drive.
5. Use one of many DVD creator programs available for your computer.
For better pleasure, I always use headphones. My recommendation:
Best Noise Cancelling Headphones from AudioReputation [audioreputation.com]