DVD SP disk burning problem

According to the DVD Studio Pro manual, once you have built (multiplexed) your project, you then choose Build and Format from the file menu to begin burning a DVD on disk. The problem that I am having is that when I go to the file menu, the Build and Format is not activated. It shows up in the file menu, but it is not "lit". Does anybody know how I can correct this problem or what I am doing wrong? I saved the project to my desktop - could this cause a problem???

Mark