The first thing you need to do if you feel like you were not sent a particular DVD or CD, is to check your order or your invoice. Chances are, the "missing" DVD is an online course that you first thought was a physical course.
Just log in with your username (your email address) and your password. Upon successful login, you will see the courses that you bought (along with its bonus lessons) listed under "My Courses" Page.
If you need further assistance, please feel free to send a ticket.