I used to use Encore DVD from Adobe with great success. It was definitely a hard program to figure out at the time (this was 3 years ago), but maybe see if you can find a free trial of it and download it. I know they've updated it, and from I remember, streamlined it a bit. I made a menu with video playing in the background, and I can't think of any reason you wouldn't be able to define the movie playing parameteres on the screen, and just have each button on the menu lead to another similar menu, only with a different video attached. However, if you are wanting something that is dynamic, and will automatically start playing a video by highlighting the button, that's beyond my knowledge.
However, I would think any full-featured DVD authoring program (i.e. you have to pay for it) should let you do this.