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.