I wouldn't recommend wmv for downlding if you intend to burn them. Many have licencing & other dialler links & many are fake titles.

Some pointers: Movie download issues
Best formats for downlding to burn are avi & mpeg/mpg. Definitions & further info can be found here; 1. AVI (click on link) 2. MPeg (click link) & more info about burning & a forum can be found here: http://www.videohelp.com/

For the other topic, don't downld exe files.