Sonic wont burn your downloads, I have it and have tried.
You need a program that will decode the file and burn it for you..

I use dvd santa and its so easy to use
You can get a free demo version and its a full version and for unlimited time, it just puts demo version across the top of the screen, I still use the demo, I just zoom in and the demo goeshttp://dvdsanta.com

Hope this helps.....