You need to have a burning program....This software will convert and then burn the file...
Many people recommend Nero, but personally I use the dvdsanta, there is a free demo version which is fully functional and has no time limits, you just get a demo message at the top of the screen,( but zooming in will make it dissapear)....
This is the link
http://dvdsanta.com ...
It is very easy to use as well....