In older versions of Creator the two programs Videowave and MyDVD were quite well integrated. That ended when the fully-featured Roxio MyDVD was replaced by a separate, simplified, reduced-feature Corel MyDVD. Now you have to fully prepare your movie in Videowave and then send it to MyDVD for burning.
The .dmsm file is a very small Project file for Videowave. It's a few kilobytes in size and contains only instructions, no video. MyDVD has no use for that file.
To create a DVD you need to load your .dmsm file back into Videowave with your source video files still available in their original locations, then use the "Prepare for Authoring" button
to send your video project to MyDVD for burning. It's now a two-program, two-step process, and your .dmsm is only recognized by the first program, Videowave.