This is a question for the Encore forum. (Or better still, for the Encore Help file. Reading that thoroughly, you will know how to do this, and won't need to ask.)
Encore is the program you want to use.
All you do is create your clips and set whatever one you want to play first as your ( first play ) option.
Then you set the end action of each clip to either another clip or to the main menu.
Premiere is just for creating the video.
There is options to loop inside you menu inside Encore. ( audio & video )
Encore is very easy.
Hope this helps: Glenn
Welcome to the forum.
As Jim mentions, the Encore Forum is the best place to post this question, as that is the program used to author a DVD-Video.
However, as PoweredbyDesign points out, you can do this by setting your Play First to your Clip, or Clips. There are three ways to do this:
Set the following to Play First then,
1.) Place all Clips on one Timeline and they will play in order. Set the End Action of this Timeline to go to your Menu.
2.) Place each Clip on a separate Timeline and set each Timeline's End Action to the next, until you get to the last Timeline and set it to your Menu.
3.) Use method 2, but create a Playlist with the desired order and set its End Action to the Menu.
The looping of the Menu can be set as is needed.