All this work preparing the DVD is pretty easy, but it's important to be able to test out the user's experience. Since the disc doesn't really exist yet (the work you've done to create menus for videos and slide shows are not yet burned to disc), you can't try it out in a DVD player. The alternative is to preview the disc's content.
The Preview button at the bottom of the screen lets you do exactly that.
When you're happy with the look of the preview, it's time to burn your DVD.