You will have to convert them unless you own a DVD player that will play the formats avilable on the Gnutella network (which Limewire connects to).
The best quality files would be .avi but avi can be a lot of different formats (the format will often be mentioned is the filename though (eg. XviD or DivX H.264 etc.). If your DVD player supports the format it can play it without converting. Just burn the files as data files.
If it doesn't then you have no choice but to convert them first and then burn them. You will BTW also need burnsoftware that will burn DVD's.
A good free converter would be this one: (if you scroll up on the page you will see a lot of info on what it can do.)
http://www.erightsoft.com/S7f01.html#Down
The most used burnsoftware that burns DVD is Nero (Free one month trial. About 60$ to buy online)
www.nero.com
Hope this explains a bit
Sleepless