Able to Burn, but no sound.

I am using Nero 6 Express to try and burn some concerts I have on my hard drive. All the concerts play fine as files on my rig, except when I burn them, they all come out with no sound. It's not just my stand alone DVD player, the DVD plays like that on my rig also, with no sound. I am using Sony DVD -R media. The files are either in .vob or .mpg. What am I doing wrong?

 

I apologize. I am new and did not see that there was a Nero forum. I am moving this post. Sorry.