If you mean burning on a DVD for a DVD player, that might be because the movie is too long, or because you downloaded DRM crippled content (which you shouldn't ever do).
A first step to avoiding that is activating the scam file filter (in the search pane) which hides most DRM crippled files, and the second is to doublecheck, if your local copyright laws allow you to download the files (you can find some legally downloadeable material at
http://wiki.phex.org/Free_and_Legal_Content
The third is to have a look at the website of your burning program.
Can you play the files in your computer?