Most movies you download are either .avi or .mpeg. Some DVD players will play these files as they are. Check the specs on your player. Most people, myself included, like to convert the files to DVD format for one reason or another. You should really take a look at some video forums...there are guides that you can follow. There are a million different programs that will convert to DVD format. The best ones (that I have experience with) are

Tsunami MPEG Encoder (TMPGEnc) Plus 2.5
Cinema Craft Encoder (CCE) Basic

These encoders take some practice, but give excellent results. Both are around $50 or less.

If you want an easy to use encoder, I would suggest WinAVI (around $30), although I have heard good things about ConvertXtoDVD (I've never used it, though).

Good Luck

P.S. Do yourself a favor and spend some time doing research...you will probably run into problems (I did!)...and there are many different opinions out there!