This is not really a problem as much as some choices that you have to make

I'm sorry but I can not make this any simpler, so this post will be a bit long

The simplest thing for you to do is to go out and buy a DVD Burner for your Computer, but it may not be the only solution.

If you want to be able to watch a downloaded television show on your DVD Player. First check what formats it is able to play.

First check if it can even play burned disks (CD-r, DVD-r or DVD+r)

If it says VCD / SVCD then you can use your CD Burner to burn.

I personally have never done this so I don't know what programs to use. Maybe someone else on this forum has ??

If it says things like AVI or DivX or XviD or Mpeg4 it will most likely be able to play some of your downloaded videos and you will be able to convert the others using programs that you can most likely get for free or cheap of the internet
If it says that then all you have to do is try burning your videos as data CD's using Nero Express or Nero Burning ROM (I prefer Nero Express as I find very simple yet efficient).

Now if it says none of those things then you still have other options than Buying a DVD Burner.

1. If your computer and TV are relatively new then you may be able to connect them together so that you see on your TV what you otherwise see on your monitor.

2. Buying a DVD player that will support all those formats (mights as well just buy the DVD Burner )

The best thing is to both buy a DVD Burner and a DVD player that plays most formats or getting your Computer and TV connected

You can burn data DVD's which will play in your new DVD Player (1 Data DVD will fit more than 6 times what a data CD will fit)

Im sorry if this has cofused you even more

BTW Neither a DVD Burner or a DVD Player that support many formats have to be very expensive. Check the prizes on the internet and at your local electronics store and see for yourself