You can't build 'chapters,' per se, in ProShow but you can split the show and then include all the shows on the DVD.
You're correct, however, about everyone watching 39 mins of show. Generally a 10 min show is about ideal but you can stretch that to around 15-20 min but beyond that is going to be an invitation for a nap
Splitting the show is easy. Load the show and save a copy under a new and obvious name so you'll have the full version protected. Decide where you want the first one to end, delete everything after that point and save it with a new name, <my show part 1> or whatever. Reload the full version and delete the part you just saved as part 1 and save it as <my show part 2>. And just repeat that if you want more parts.
When you make the DVD you'll select all the shows for the DVD and set up a menu with thumbnails for each show arranged however you want them. There should also be a "Play All" and "Loop All" show up (you can deselect them but I'd use them) and now you can play any one show or all of them. Otherwise there's no difference in the process--it will render all three creating a DVD directly or an ISO whichever you use.
Hope that helps.
Dick