That sounds like a standard DVD player menu display to me. You need to ensure that 'Play all scenes' is highlighted (by using the arrow buttons on your DVD player's remote control, if necessary) and then press the 'OK' button.
I don't know which program you're trying to use to watch the video but Windows Media Player (which is what is on most Windows computers) is notorious for causing problems when attempting to watch DVDs. Try a better media player, such as VLC or GOM:
http://www.videolan.org/vlc/index.html