You're wanting to burn a video DVD correct? If so these use MPEG-2 video files. It only allows one "project" because of the rules for DVD video. So to do what you want to do, you must first create a DVD compatible MPEG-2 video file for each project. Then a final project would be putting those video files together, each being a separate Chapter on the DVD.
I don't use Adobe Premiere Elements or Premiere, so I'm not familiar with how it is done with those programs. I've used other programs, and know how they function. Irregardless, the structure for video DVD must be the same. The program will convert the video files to VOB files, and include BUP and ISO files. These are packaged inside a VIDEO_TS folder. The VIDEO_TS folder and possibly an AUDIO_TS folder are what's burned to the DVD.