Where are you trying to export from exactly? You need to be more specific in what you're doing so we can help trouble shoot. Also, out of curiousity, what version of FCP are you using?
In FCP, have the sequence you want to make into a DVD open. Select the timeline so that window is the active one. Then go File > Export > Using Compressor. Do up your settings as need be. Then you should be off and flying.
As for the title you gave your thread, that would indicate that either you tried to export nothing or you tried to export media that is offline. Compressor is simply saying, "hey I can't start compressing anything because there's nothing for me to compress. Where's the file you want me to compress?"
