Hello,
PhotoStage does not have an option to create a Menu for your exported DVD, you will need to export the video to your PC and from there you can use a burning software that allows DVD menu creation. NCH Offers Express Burn which does include an option for you to create a DVD menu but it is a very simple menu so do not expect a Menu like you see on DVD movies you purchase. You might find other programs out there that might create more complex menus.
Good luck!