Hi audiodrome,
I'd never use Nero for such a task, but depending on where your ssources come from, you should demux all three movies into their elementary video (.m2v) and audio streams (.ac3, .mp2, .wav)
(I use PVAStrumento for that ->
http://www.offeryn.de/dv.htm#pvas )
Then you could use MPEG2Schnitt for merging them into two continuous streams (one video and one audio) and use those two resulting streams for authoring to DVD.
->
http://www.videohelp.com/tools/Mpeg2SchnittIdentical video and audio formats are mandatory for such a task, so you might want to check whether your three clips have the same specs.
HTH,
Maggi