This link should have the answer you are looking for: http://answers.microsoft.com/en-us/windows/forum/windows_vista-windows_programs/movie-maker-chapters/5557fc1d-693e-45a8-9526-656a4c3aac4b
This is the basics of it:
Chapters are automatically made when creating DVDs within Windows DVD Maker. The chapters cannot be changed.
However you can force it to create them by breaking up your video into chapters using Windows Movie Maker and saving off each chapter as its own project.
Add each project to DVD Maker and it will create the chapters for each video segment.