You just forgot 2 commas between the keys
CREATE TABLE DVD
(
DVD_ID INT NOT NULL AUTO_INCREMENT,
DVD_NAME varchar(30) NOT NULL,
DVD_COST varchar (4) NOT NULL,
AGE_ID INT NOT NULL,
CAT_ID INT NOT NULL,
PRIMARY KEY (`DVD_ID`), /* forgot the comma here */
FOREIGN KEY (AGE_ID) references AGE_CERT (AGE_ID), /* forgot the comma here */
FOREIGN KEY (CAT_ID) references CATEGORY (CAT_ID)
)