Sounds like you need some more codecs for your players. Search CODEC on the forum to find out what it means. Try
http://www.divx-digest.com/software/nimo_pack.html
If you have a dvd burner & only if you have a dvd burner then yes you can burn dvd's. dvd's use what's called mpeg2 format. The bettre quality burner softwwares like nero & particularly roxio easy cd & dvd creator can burn dvd's. They will convert any AVI, mpeg1/2 file you have to mpeg2. Just drag & drop them into the burner application. So for burning purposes you should be looking for avi or mpeg files. You should also be looking for video files that are over 500 MB in size.
Anything smaller than that will probably only be part of a movie or be very poor quality or be a fake. And there's lots of fakes out there.
Ignore those wmv files you see which show up in every search you do & are perhaps 2 MB in size. These are fakes & are released as spam copying your search.
avi is one of the original windows formats & is rather comparable to apple's quicktime format in some ways. Mpeg comes in different variations. mpeg 1 was used for vcd's. mpeg 2 for svcd's & dvd's. mpeg4/divx for transporting across the net. And there's more mpeg types that haven't really hit the market yet. (mp3 is a type of mpeg audio format.) wmv is another windows format that can incorporated licencing thanks to M$. There's many other formats out there but these are the most important you need to know for now.